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.