Answer
Phospholipids create the phospholipid bilayer, which is the membrane keeping the ICF from freely mixing with the ECF.
Glycolipids and glycoproteins help create the glycocalyx, which acts like an identification tag so your body can identify its own cells.
Cholesterol can is used both to stiffen the plasma membrane and help loosen it. Cholesterol's main role is to make sure the fluidity of the membrane is maintained.
Integral proteins penetrate into the phospholipid bilayer. Transmembrane proteins also help transport material through the cell membrane.
Peripheral proteins are only found on the surface of the plasma membrane (either inside or out). They do not penetrate into the bilayer.
Both integral and peripheral proteins have several functions (which is covered in the next question).
Work Step by Step
Basically, the cell membrane is composed of the phospholipid bilayer. Cholesterol is used to help keep the membrane the perfect amount of fluidity/stiffness. Glycolipids and glycoproteins help create your unique cell fingerprint, which your immune system uses to identify you from not-you. Proteins carry out or facilitate some action.