Windows: because this version of this "package" is for Windows. You will find a version of WAMP called LAMP for Linux but also a MAMP version for Macintosh.
Apache: it's the server that will display your pages. It is he who will interpret the PHP and fill your HTML pages or your templates with the right values in it.
MySQL: This is your database. This is where you will record all the information.
PHPMyAdmin: This tool is very useful because it is a graphical interface linking you to the database. This is not the only way to access the database but it is the one we prefer when we start in computer science in general.
You can now start coding pages in this notepad. You will have to change the file extensions for .php, .js, .css or .html files. This technique works very well.