A literature review is an integrated analysis of scholarly writings that are related directly to your research question. Put simply, it's a critical evaluation of what's already been written on a particular topic. It represents the literature that provides background information on your topic and shows a connection between those writings and your research question.
A literature review may be a stand-alone work or the introduction to a larger research paper, depending on the assignment. Rely heavily on the guidelines your instructor has given you.
What a Literature Review Is Not:
Why Literature Reviews Are Important
To Learn More about Conducting and Writing a Lit Review . . .
Monash University (in Australia) has created several extremely helpful, interactive tutorials.
A citation manager can be helpful way to work with large numbers of citations. See UMSL Libraries' Citing Sources guide for more information. Personally, I highly recommend Zotero—it's free, easy to use, and versatile. If you need help getting started with Zotero or one of the other citation managers, please contact a librarian.