Copyright refers to a set of laws (Title 17 of the US Code) that protect the rights of creators of both published and unpublished works. These laws give creators the right to reproduce their works, distribute copies, create derivatives based on the original work, and perform/display their work publicly. Creators also have the authority to allow others to use their work as they see fit.
Watch this video for a quick explanation of copyright and fair use.
As soon as you create something in a tangible form, published or not, it is protected under copyright law. The following are examples of types of works that can be copyrighted: