I'm not sure if you actually know this information, but to fill in a few more details from LIGA's answer: Steriods act quickly to reduce inflammation. They can be taken orally, sprayed nasally, or applied topically. Side effects are bone thinning (when taken orally over a long period of time), weight gain (same), and when applied topically, they can cause skin thining, although I think you'd have to put an awful lot on for this to happen (I've been using a very strong topical steroid for years, and this hasn't happened to me).
Inflammation can cause pain, itching, and eventual joint deterioration, so reducing that inflammation is a very important step in the treatment of all sorts of diseases.... skin diseases, asthma, allergies, autoimmune...
Antihistamines block the production of histamines. Histamines are released in the body by things that we are allergic to or have sensitivities to. Histamines trigger inflammation (and related to this inflammation, itch and hives). They also have a role in the immune system, but here my own knowledge falls short. The reason antihistamines are prescribed for people with allergies or itchy responses is to try and prevent the histamine release which causes a flare up or allergic response.
Finally, immunosuppressants are stronger drugs which suppress the immune system, and stop the body from attacking "invaders" (whether they be allergens, or in the case of autoimmune disease, the body itself). The difference (I think) between immunosuppressants and antihistamines, is that antihistamines are targeted to one type of immune response (histmines), whereas immunosuppressants target many more elements of the immune response. One of the dangers of immunosuppressants is that the body is much more vulnerable to contracting illnesses from the environment (like flus, colds, etc), and less able to fight them off.
Hope that helps a little.