Other than belonging to the servlet spec, the three aren't really related at all.
Short questions that take pages of typing to answer don't usually get taken very seriously here. A better approach would be to find a good book or web tutorial and learn about these things in the right order. There is a link to the servlet spec in my signature. After reading it, you'll understand all of these objects and the intent behind them very well.
If reading it brings up more specific questions, by all means, come by and ask them.