Commands
Slash commands (like /hello) that a member types directly in Discord. Each command has its own visual logic defining exactly what happens when someone runs it, reply with a message, look something up, update a score, whatever you build.
Events
Automatic reactions to things happening in your server, without anyone typing a command: a member joining, a message being sent, a reaction being added, and more. Use events for anything your bot should do proactively rather than only in response to a command.
Modules
A way to group related commands and events together as your bot grows past a handful of features, for example, all your moderation-related commands and events in one module, all your fun/game commands in another. This is purely organizational, it doesn't change how commands or events behave, just keeps a larger bot easier to navigate and maintain.
Tip: Start without worrying about Modules at all — group things into modules once you actually have enough commands and events that a flat list starts feeling hard to scan, not before.