A screenplay is a script for a film or television show. It includes dialogue as well as stage direction and character actions and movement.
Screenplays have a specific format, although there can be slight variations based on factors:
Type (i.e. film, multicam TV, singlecam TV, etc.)
Destination (studios and networks often have specific idiosyncrasies)
Origin (different countries use different standard paper size, for instance)
House style, specific to a certain TV show, for example.
Final Draft, Celtx, and Movie Magic are examples of word processors designed specifically to help writers format screenplays properly.