The joints of your body are supported by ligaments. Ligaments are strong bands of connective tissue that connect one bone to another. A sprain is a simple stretch or tear of the ligaments.
The areas of your body that are most vulnerable to sprains are your ankles, knees, and wrists.
A sprained ankle can occur when your foot turns inward. This can put extreme tension on the ligaments of your outer ankle and cause a sprain.
A sprained knee can be the result of a sudden twist.
A wrist sprain most often occurs when you fall on an outstretched hand.
Most mild sprains heal with “R.I.C.E.” (rest, ice, compression, and elevation) and exercise. Moderate sprains may also require a period of bracing. The most severe sprains may require surgery to repair torn ligaments.
Source: http://orthoinfo.aaos.org/topic.cfm?topic=A00304#Sprains