Sociology -- studies all of a given society, its history, what people in it do, etc.
Psychology -- studies the individual person, what makes their brains do what they do. (Sometimes Social Psychology studies how groups of people interact, too, but mostly psychology is more individual than the other two.)
Much of psychology is based, in part, on neuroscience, whereas Sociology and Anthropology are more based on stories, history, archaeology, language, etc.
Anthropology -- studies the people in a culture, their history, how they interact. Almost identical to sociology, but with a slightly different focus, and sometimes different language and methods associated with it.
Take a class on any one of the three, and the teacher/professor will help you out, since all these fields overlap like crazy. Have fun!
a swanky liberal arts college. :D