Smelts are small (about 6"-8" long) white-fleshed fish common in both fresh, brackish, & salt water.
Around here they're most commonly found frozen, if at all, but the Whole Foods store in Fairfax, VA, occasionally has them fresh during the winter months, as will any well-stocked seafood market.
The usual method of prep is to simply head & gut them, dredge in flour or a batter, & deep-fry them whole. Depending on size, they can frequently be eaten bones & all.