The World Wide Web is what you are using right now (unless you printed out the guide, then you're probably reading a piece of paper). The World Wide Web is the name given to the entire part of the Internet you can access with your web browser software. (Netscape Navigator and Microsoft Internet Explorer are the two most popular web browsers.) The World Wide Web, or WWW or web for short, consists of millions of web sites (like yahoo.com, microsoft.com, and davesite.com) and millions of web pages.
A web page is what you are viewing right now. It's kind of like a word-processing document, except it can contain pictures, sounds, and even movies along with text. Anyone who knows a little HTML (hyper-text markup language) or has a program capable of saving in HTML can make a web page. (For a free course in HTML, you can visit HTML: An Interactive Tutorial for Beginners, which is one of my other sites.)
The main difference between a web page (or 'home page') and a web site is that a web site generally contains multiple web pages, all linked to one another in some fashion. Some people use the term web page and web site interchangeably but those with Internet experience know the difference.
One of the beauties of the World Wide Web is the ability to hyperlink. (A hyperlink is one of those cool little [usually] blue and [usually] underlined pieces of text that you can click on to go to a different web page.) When someone makes a web page they can place a link on it to virtually anywhere they wish on the web. When someone visits their web page they can just click the link and the visitor's computer automatically loads the linked site in the web browser window. Most people use links to help their sites' visitors find other useful sites. When someone makes a page about himself or herself just for fun they'll usually add links to pages created by their friends.
Links can connect different web sites on different servers. You can even make a link to this guide if you really wanted to!