Not really a quant question, but a quick search led to this from the CME: http://www.cmegroup.com/market-data/files/CME_Group_Settlement_Procedures.pdf. Unfortunately it depends on the contract, for example:
Equity Futures: For S&P and NASDAQ, the settlement price of the lead* month contract is the midpoint of the closing range determined based on pit trading activity between 15:14:30-15:15:00 Central Time (“CT”). For all other equity indices, the Volume Weighted Average Price (VWAP) of trades executed on Globex between 15:14:30-15:15:00 CT is used to determine the settlement prices for the lead month contracts. Back month contract months are settled to traded or quoted spread relationships. E-mini S&P and Nasdaq are settled to the value derived from the Big S&P and Nasdaq.
Basically, settlement price is important because futures accounts are marked to market every day. This means that gains and losses are offset and credited or debited to traders' accounts daily. This of course reduces risk of counterparty default. The closing price is usually considered the last price traded within trading hours and the settlement price is the official price of the contract used to mark traders' books to market.