Roxas is a Nobody who was created when Sora vanquished his heart using the Keyblade of People's Hearts at Hollow Bastion. In the process, Namine was born. Namine is a Nobody that is half of Kairi and half of Sora. Sora turned himself into a Heartless, and when anyone with a strong enough heart becomes a Heartless, the empty shell left behind is turned into a Nobody.
*Spoilers*
This Nobody, Roxas, was found by Organization XIII and used as a way to gather hearts, since Roxas had control over the Keyblade. After Roxas left the Organization, he was defeated and put unconscious by Riku who then gave Roxas to DiZ. DiZ put Roxas in a virtual town and hid him from the Organization so that he could become one with Sora once again. This is the prelude and beginning to Kingdom Hearts II.
For more in-depth information, see the question "How does Kingdom Hearts 358 2 Days end?"
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