What separates the galaxies from each other?
You know what place space is. Plain space. Interstellar medium, tricky as it sounds, is pretty simple. It's mainly hydrogen gas, with some helium, and minor "trace" elements so to speak.
According to Wikipedia (sorry I had to paste - I have an exam to study for coming): "In astronomy, the interstellar medium (ISM) is the matter that exists in the space between the star systems in a galaxy. This matter includes gas in ionic, atomic, and molecular form, as well as dust and cosmic rays." According to the Britannica Encyclopedia, "In most cases, interstellar matter occurs in cloudlike concentrations".