Sheik is a minor character in the Legend of Zelda series. The only canon game he appears in is The Legend of Zelda: Ocarina of Time. He appears after Link opens the Temple of Time and grows up. Sheik tells Link that he must go into several different temples and collect different Medallions, starting with the Forest Temple. He appears a few times later in the game, teaching Link special songs with his harp. The ending of OoT reveals that Sheik is actually Zelda disguised as a Sheika, doing this to protect herself from Ganondorf.
Sheik also has a playable appearance in Hyrule Warriors, where his attacks are entirely based on his harp and the songs he plays. It's strange how Sheik and Zelda are now separate, since he was just an alter-ego of Zelda.
Despite Sheik never appearing in Twilight Princess, he still has concept art created for the game.
It is debatable wether Sheik is male or female. He is Zelda in disguised, but he has a low-pitched, masculine voice. Princess Ruto also refers to Sheik as 'a young man.'