Waterblock: This is equal to your HSF in watercooling, it is what sits on top of your CPU.
Radiator: This is what cools the water after it comes off your waterblock. You need a fan(s) to pull air through it to cool the water in the (usually) copper tubes.
Resevoir: Your water tank, not needed but usually prefered.
Pump: What moves the water through your system.
These are pretty much the basics, I'm sure someone else who actually has a watercooled setup can give you more details if needed. The best info is in previous posts on these forums, so use the search feature.
Edit: I type fast Yodums
