Components (also known as "widgets") are the basic user interface elements the user interacts with: labels, buttons, text fields, ... Components are placed in a container (eg, JPanel). The visual arrangement of the components depends on the container's layout. When the user does something to a component, the component's listener is sent an event.
Vanilla Java. The most important components to learn for simple programs are: JLabel, JButton, and JTextField. Learn these first.