睡觉 means 'to sleep'
e.g. 我想睡觉 I want to sleep.
睡着means 'sleeping'
i.e. 他睡着-he fell asleep (and he is still sleeping)
着zhē (in this context) is used after a verb to show that the action is continuing, i.e. 听着(listening),看着(looking),等着(waiting) It functions like 在or 正在but they are placed before the verb and 着 is placed after the verb.