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Web server sends pages to client on request. Examples are Apache and IIS.

Web server interacts with server-side scripting language. Examples are PHP and Ruby. Allows you to generate pages on the fly custom-designed for the user, and allows you to do useful things like templating via databases with ease.

Web application framework is built on top of server-side scripting language. These are designed to make life easier for the programmer. Examples are Ruby on Rails or Django.

Serves to a browser. Browser displays HTML (structured content), CSS (for designing the HTML), JavaScript (client-side programming language that deals with interaction on a page). Ajax is a buzzword for JavaScript communication with the server without refresh. jQuery is a library (essentially a bunch of useful functions designed to work together) for JavaScript that makes things like Ajax and selecting individual parts of HTML, something that's usually a pain, easy to do. Cookies allow small amounts of data-storage on the client-side.

Typically, people learn HTML first, then mess with a server-side language (or learn "how to program" in general), then once those two basic skills sets are there build on them at the same time.