A covalent bond is formed when atoms share one or more pairs of electrons. A molecule is the smallest unit of a substance that keeps all of the properties of that substance, and is formed of atoms covalently bonded to one another. Examples: $\ce{O2}$ and $\ce{H2O}$.
A covalent compound is a chemical substance made up of atoms of more than one different elements held together by chemical bonds. So $\ce{H2O}$ is a compound, but $\ce{O2}$ is not because it does not have more than one different element in it.