Java :
An independant programming language the works regardless on the type of the platform, for use on the web. Java programs come as a Java Application or a Java Applet, and was developed by Sun Microsystems.
Java Applet :
A method of creating effects on the web. Applets are run through the users Browser, and can not make any changes to your system.
Java Application :
A Java Application can be used as any program, and can carry out full functions such as saving files to disk.
JPG :
Or JPEG. Stands for 'Joint Photographic Experts Group' who developed this image file format for compressed 24-bit colour images. See also BMP and GIF.