Ok, here goes my definition to the therms.
GRUB: it is a bootloader, meaning it allows you to choose which Operating System you want to boot to. It's very important whne you are running more than one operating system in the same computer such as in dual-booting. There are basically two very popular boot loaders in linux. Grub which is more gui oriented and LILO (LInux LOader), you have to set them up, whether you have two operating systems in your machine or not. The main difference is that if you only have Linux on the machine you probably won't see the boot loader because there's only one choice "LINUX". Windows also uses a bootloader called "NTLDR" which doesn't show up during normal boot unless you have more than one OS installed in the machine. There are basically two places to install a boot loader: in the boot record, and in the first 512 KB of a partition.
KDE: stands for K Desktop Environment. When it comes to linux there is a program/server called "X" that allows you to have GUI (graphical user interface), you usually have programs called window managers that are the ones in charge of drawing the borders, manage windows, behavior of windows, keyboard bindings. Some of the window managers available for X are: blackbox, fluxbox, fvwm, kwin, sawfish, etc. Besides window managers there are other things called "Desktop Environments" that allow you to have a uniform look and feel across most of the programs in your desktop. Desktop Environment allows you to have set options such as look and feel of applications, style used, etc. Meaning all programs look and feel the same kind of like windows. Desktop Environments work together with window managers, in the cases of KDE it works wonderfully together with its own window manager, KWIN, if you wouldn't use KDE you wouldn't be able to use all the advanced features that KDE has.
GNOME: This is another desktop environment for X, it is the main competitor to KDE, they both have very different approaches. While Gnome aims more at looks, and things like that KDE tries to focus more on user friendliness. Actually both Desktop Environments can be made very good looking and are very good user friendly. If you have used Windows you will feel right at home with KDE and gnome.
Linux can be very confusing at first, but if you focus and do a lot of reading and really try to learn it, you will come to love it as much as I do. The trick to linux is to RTFM, read the friendly manual. You have to read, read, read, and read. Things may not seem very easy to set up at first in linux, but once you set it up, they take very little to keep up to date. Here are some good links for you:
www.google.com/linux
www.tlpd.org
www.kde.org
www.gnome.org
Take a look at the screenshots and see how linux can look with just a little bit of effort.
I hope this helps,
pitupepito