It is believed that natural biological membranes contain domains of lipid ordered phase enriched in cholesterol and sphingomyelin. Although the existence of these domains, called lipid rafts, is still not firmly established for natural membranes, direct microscopic observations and phase diagrams obtained from the study of three-component mixtures containing saturated phospholipids, unsaturated phospholipids, and cholesterol demonstrate the existence of lipid rafts in synthetic membranes. The presence of the domains or rafts in these membranes is often ascribed to the preferential interactions between cholesterol and saturated phospholipids, for example, between cholesterol and sphingomyelin. In this work, we calculate, using molecular dynamics computer simulation technique, the free energy of cholesterol transfer from the bilayer containing unsaturated phosphatidylcholine lipid molecules to the bilayer containing sphingomyelin molecules and find that the affinity of cholesterol to sphingomyelin is higher. Our calculations of the free-energy components, energy and entropy, show that cholesterol transfer is exothermic and promoted by the favorable change in the lipid-lipid interactions near cholesterol and not by the favorable energy of cholesterol-sphingomyelin interaction, as assumed previously.