I have a red bump on my eyelid. What is it, and what should I do?

I'm not sure if this is a "stye" (spelling?) or not on my eye, but it is a little itchy, and red and tender. I have two of them, actually, on the same eye: one on the upper eyelid, and one underneath on the lower eye lid.

Is this an infection, or allergy or something else? Will it go away on its own, or should I do something about it?