In Windows we have Command Prompt but on linux there is more simmilar "apps" like:
This is my first day on linux, can someone describe difference between that?
In linux they can all look the same from the point of view of the user at the keyboard. The differences are in how they interact with each other.
The shell is the program which actually processes commands and returns output. Most shells also manage foreground and background processes, command history and command line editing. These features (and many more) are standard in bash, the most common shell in modern linux systems.
A terminal refers to a wrapper program which runs a shell. Decades ago, this was a physical device consisting of little more than a monitor and keyboard. As unix/linux systems added better multiprocessing and windowing systems, this terminal concept was abstracted into software. Now you have programs such as Gnome Terminal which launches a window in a Gnome windowing environment which will run a shell into which you can enter commands.
UXTerm is XTerm with support to Unicode characters. The main difference between XTerm and Terminal is that the gnome-terminal has more features, while XTerm is minimalistic (though it has features that are't in gnome-terminal, but they are more advanced).
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