It's not easy to jump in the Android world as it's a very different one as classic phones like nokia and SE.
Ok we have several elements to know:

-ROMs: it's the equivalent of FW , in Android world we have the ''stock rom'' which is the rom that come builtin, we have ''custom roms'' which are built by developpers bringing lot of customisations, and ''cooked roms'' which are custom roms on which we add apps and settings as we want (10$/year at modaco)

-Kernels: As windows kernels they can modify hardware drivers as wifi,battery, CPU overclocking and unervolting...

-Radios: They change the baseband of the phone, though not recommended to be changed because they could brick your phone.

-HTC_IME: The official HTC Desire keyboard app that can be ported on Nexus One.

-Recovery.img: The most essential file that help flashing any of the above files.

-Android SDK: A free app for windows that is essential to use ADB and Fastboot

-ADB: it's a dos command that can be used within android sdk when the phone is in normal usb mode, mainly used to copy/pasting system files like ''pushing'' manually a kernel.

-Fastboot: Same as ADB but work only when the phone is in recovery mode (power off, then power on + trackball), fastboot can be used to flash roms or kernels