Jesus often taught his disciples things about God by telling them stories about things that happen every day. These stories are called parables.
In the parable of the lost sheep, there was a man who had a hundred sheep. Every morning he took them from the fold (a place where they stayed at night) on a hillside and led them to new, fresh pastures. Later in the day he would them to a quiet stream, or, if there wasn't any stream nearby, he would draw water from a well for them to drink. At night the good shepherd took them up the hill again to the fold. Everyday the sheep followed the shepherd wherever he took them. He called them by name and they came to him. Every night he would count them to make sure they were all there.
One night one little sheep was missing. Somehow it had strayed away and became lost. If the shepherd left it and didn't go look for it, it would surely be killed by some wild animals. The shepherd did not want to leave it. He left the other sheep and went to find it. He went searching until he found the lost one. (Matthew 18:12-13) When he found it, it was tired, hungry and cold. The good shepherd put the little sheep on his shoulder and carried it back to the fold. He did not scold it, but he rejoiced and was very happy that he had found the little sheep.
In this parable, the shepherd was Jesus. (John 10:11) The sheep are men, women and children. Jesus was showing the disciples that God and Jesus really care for us and they want us to be one of their lambs, or sheep.