Olaf is a snowman that was built by Elsa when she was trying out her powers. Anyway, he mat Anna and Kristoff while the two were travelling towards the place where Elsa went.
He loves warm hugs and wants to experience summer. Apparently, he did not have any experience with heat at that time, that is why he has no idea what heat can do to a snowman.
In the end, when Elsa unfreezes summer, Elsa built a personal flurry for Olaf so he can still be able to survive the heat.
