Command Window: This is where the action happens. Commands are typed here.
Command History Window: Whatever is typed into the command window is saved in the history window.
Current Directory Window: Access your current working directory by using a standard PC GUI.
Launch Pad Window: Launch Matlab applications and demos from this window. This is a very good place to start learning about Matlab by going through the help files and tutorials.
Workspace Window: This window contains information on variables that have been defined in the command window.
I highly recommend reading the Matlab tutorials and playing with the demos to get an appreciation for the full capability of Matlab.
Matlab WebSite: http://www.mathworks.com/