A window-system window that you see on the screen is called a frame in Emacs terminology. Each frame is subdivided into one or more non-overlapping panes, called (confusingly) windows. Each window displays the text of a buffer in it. (See above on Buffers.) Note that buffers and windows are independent entities: Two or more windows can be displaying the same buffer (potentially in different locations), and a buffer can be displayed in no windows.
A single display screen that contains one or more frames is called a display. Under most circumstances, there is only one display. However, more than one display can exist, for example if you have a multi-headed console, i.e. one with a single keyboard but multiple displays. (Typically in such a situation, the various displays act like one large display, in that the mouse is only in one of them at a time, and moving the mouse off of one moves it into another.) In some cases, the different displays will have different characteristics, e.g. one color and one mono.
SXEmacs can display frames on multiple displays. It can even deal simultaneously with frames on multiple keyboards (called consoles in SXEmacs terminology). Here is one case where this might be useful: You are using SXEmacs on your workstation at work, and leave it running. Then you go home and dial in on a TTY line, and you can use the already-running SXEmacs process to display another frame on your local TTY.
Thus, there is a hierarchy console -> display -> frame -> window. There is a separate Lisp object type for each of these four concepts. Furthermore, there is logically a selected console, selected display, selected frame, and selected window. Each of these objects is distinguished in various ways, such as being the default object for various functions that act on objects of that type. Note that every containing object remembers the “selected” object among the objects that it contains: e.g. not only is there a selected window, but every frame remembers the last window in it that was selected, and changing the selected frame causes the remembered window within it to become the selected window. Similar relationships apply for consoles to devices and devices to frames.