Cipher Feedback Mode
Well, with CFB mode, the encryption process is "take the most recent ciphertext block, pass it through the block cipher, and then exclusive-or that with the plaintext block to generate the next ciphertext block".  As for the IV, that's used as "the most recent ciphertext block" when encrypting the first plaintext block (where you don't have a most recent ciphertext block yet).

Now, the advantage that CFB brings to the table is error recovery, including errors that add or delete ciphertext blocks.  That is, is a ciphertext block is garbled (or a block is inserted or removed), the corresponding decrypted plaintext block and the one after that is also garbled; however, after that, the decryption process resyncs, and then it decrypts the rest of the text correctly.  Now, CBC also has this same property in regards to entire blocks; however, if you take the last 128 bits of ciphertext, encrypt that, and then use (say) only 8 bits of each AES block output, and exclusive-or that is 8 bits of plaintext to form the next 8 bits of ciphertext, well, now you have something that is resilient against changes that inserts or removes individual bytes from the ciphertext (at the cost of having to run the block cipher N times to encrypt N bytes).  Nowadays, this is not considered relevent (we generally want to encrypt and MAC entire messages, and if anything was changed, we reject the entire message); historically, this was considered a nice feature if (say) you were encrypting data going over an RS-232 interface (which really could add/drop individual bytes).

The other advantage that CFB mode has (over, say, CBC) is that the decryption process also uses the block cipher in encryption mode; depending on how different the block cipher encryption and decryption is, this can be convienent.

Now, as for your questions:


As to the relationship between CBC and CFB; well, they both perform the same general process, they both take iteratively exclusive-or in the next block of plaintext, and then run that through the block cipher.  How they differ is where they pull the ciphertext from; CBC pulls it after we run the internal state through the block cipher, CFB pulls it after we compute the exclusive-or.
Is it OK to use with AES?  Why, yes, AES works perfectly well with CFB.  As for your statement that "the plaintext message should enter AES algorithm to encrypt the plaintext message", why, that's not at all true; in Counter mode, the plaintext message doesn't go through the AES algorithm at all.  For CFB mode, for the very first ciphertext, yes, the plaintext doesn't enter the AES algorithm; however, for any other ciphertext block, we send the previous ciphertext block through it, and the previous plaintext blocks were used to compute the previous ciphertext block.