Let's say that you log on to your computer and run a program, like Internet Explorer. That instance of a running program is a "process." It owns a certain amount of memory which belongs to itself; it has opened a set of files and those "file handles" belong to itself; it gets a certain amount of CPU-time at some priority.
A "process" like IE may be divided into "threads" each one of which executes independently ... but all threads share the memory, file-handles and other resources of the process to which they belong.
Multi-user computers also define a "session." If three users are logged on, each one's session owns the processes that this user is currently running. If the user logs off, those processes will (usually) be killed.
These three groups are nested: session -> process -> thread.