Like any wax or fat, cholesterol does not dissolve in water. So in the blood, cholesterol is carried around in an envelope of protein. First, they measure total cholesterol - all the cholesterol in your blood. And second, they measure each of the different lipoproteins in your blood that, together, make up your total cholesterol. Each amount is measured as milligrams.
Cholesterol does serve a useful purpose.
It is also needed to produce bile acids, which aid fat absorption in the small intestine, and to build cells, especially the fatty membranes that enclose cells and the structures within cells.