Study Plan and Statement of Purpose (SOP) are similar. They are used to demonstrate to CIC what your intentions are for studying, what your career goals are, how your studies are relevant in light of your education background and why you want to study in Canada as compared to your home country. There is no secret formula to this, just be frank and honest.
A Cover letter prefaces the entire application. It addresses potential discrepancies in your files and acts a summary of your whole application. It allows you to spell out anything that may not be clearly evident in your application as it appears already.