The flute is one of the oldest instruments known, and variations of it appear in virtually every culture on Earth. The modern version used in orchestras and in the concert band is distinguished by the fact that it's held sideways while being played, unlike other woodwinds such as the clarinet or oboe. For this reason, this particular instrument is technically known as the "transverse flute", although in everyday conversation the full name is rarely used.
The piccolo is similar to but smaller than the flute, which gives it a higher pitch, enabling it to be heard quite well over the rest of the ensemble. One well known example of a piece of music that simply wouldn't sound the same without the piccolo is John Philip Sousa's Stars and Stripes Forever.
Here's a collection of pointers to various places in the Web that discuss these instruments: