Even though people always count screws as a separate kind of simple machine, really screws are just one kind of inclined plane. They are such an important kind that we give them their own category.
Like most other simple machines, screws also exist in nature. But people didn't begin to use screws until pretty recently. People invented wheels about 3700 BC, but the earliest possible example of a screw that we know of was from about 700 BC, when the Assyrian king Sennacherib may have used a screw pump to lift water for the Hanging Gardens of Babylon, the famous gardens of his palace. After that, there is no more evidence of people using screws until about 250 BC, when the Greek inventor Archimedes certainly made a wooden screw press.
A screw is an inclined plane wrapped around a central core into a spiral shape. Screws can do two things. First, they can convert a force that goes around and around into a force that goes up and down. That's the earliest use of screws, to press cider or wine, or to lift water. You can walk around and around the cider press, using a long wooden bar to turn the screw, and the screw will press down on the apples and force out the juice. Second, screws can thread into things like wood or a metal bolt so that the two things are interlocked and can't come apart. That's the most common use of screws today.
A screw's power depends on how close together the threads are (the parts that stick out), and how wide the head is where you are turning it. You can get more power by making the threads closer together, or by getting a longer stick to turn the screw with. But if the threads are closer together, you'll have to turn the screw more times before it is screwed down tight, and if you get a longer stick, you'll have to walk further each time you go around the screw. As with the other simple machines, you can choose between working harder for a shorter time, or less hard for a longer time. So the mechanical advantage of a screw is the distance between the threads multiplied by the length of your stick.
After Archimedes, farmers began to use screw presses more and more often for things like pressing apples into cider or grapes into wine. By the late Middle Ages, more than a thousand years later, printers used screw presses to print books and newspapers. But until there were machines to make small metal screws, people didn't use small screws - the screwdriver, which is a kind of lever, wasn't invented until about 1800 AD. So modern screws with their screwdrivers are really a combination of two simple machines - the inclined plane and the lever.