Cell Membrane

If a gram positive bacteria has its cell wall removed, it can be called a protoplast. A spheroplast is a cell from which the cell wall has been almost completely removed, as by the action of penicillin. The name stems from the fact that after a microbe's cell wall is digested, membrane tension causes the cell to acquire a characteristic spherical shape. Spheroplasts and protoplasts are osmotically fragile, and will lyse if transferred to a hypotonic solution.
The cell membrane is the first living part of the cell. It is made up of a phospholipoprotein membrane, or plasma membrane. It forms a selective barrier that serves to regulate materials going in and out of the cell. The phospholipoprotein is made up of a hydrophillic head and a hydrophobic tail. 
Most bacteria do NOT have cholesterol (a sterol steroid) because they have cell walls. Mycoplasma do not have a murein cell wall and therefore need cholesterol to help maintain fluidity in colder environments. Fungi have a different sterol steroid called ergosterol, which makes them somewhat similar to humans. For this reason, a lot of anti-fungal medication are also toxic to humans.
The hydrophobic tails only let small molecules get through, while larger molecules like glucose need the help of proteins to be transported into the cell.