Jesus was sent by the Father to live on earth; he was holy, and human yet had no sin. Jesus willingly laid down his life and after three days, rose from the grave. In doing this, Jesus fulfilled the payment for the world's sins.
The Holy Spirit was sent by the Father and Son to convict the world of sin and so empower all who believe in Jesus Christ. He lives in every believer and is a constant Encourager, Comforter, and Advocate.