One of the most difficult parts of starting to use Linux is that you won't have exactly the same programs (applications) that you did on your Windows or Apple Mac OSX Operating Systems However, this isn't as bad as you may think, because lots of applications work on more than one Operating System
The shell is the program that interprets commands. There are a number of shells. The original was sh, the Bourne Shell. Now the main one is Bash, the Bourne-Again Shell. There's also ksh (korn shell) and the C Shell, amongst others. Each of these operates a bit differently.
The shell is accessed via a terminal.
When using the X Server we use programs called Terminal Emulators. The original is called xterm. There are lots of alternatives to xterm. Many window managers (graphical interfaces) come with their own emulators: Gnome has GNOME Terminal, and KDE has Konsole for example.