To be honest, the difference is not terribly clear. I could give you the definitions now, but it wouldn't help much.
Think of it this way: a fixed expression is something that you just say without thinking about what the words making it up mean together. For example, when you say "all of a sudden", all you've really said is "suddenly". It doesn't mean anything more or anything less, it's just a fixed expression in the language that you use that way.
A collocation is the same in that it means more than its constituent words would imply, but it's not as "fixed" - it's just very commonly used. For example, collocations for the word "tunnel" would be "wind tunnel" and "carpal tunnel". The first is a specific construct within aerodynamics, not -just- any tunnel through which wind passes. The second is a syndrome (an illness, let's say), and not -just- a tunnel through the wrist (the New Latin for the bones of the wrist being "carpus"), as you might suspect from just looking at the words.
I hope any of that helps. :)