What do Windows do?
Windows are simply a way to present an application to the user so they can work with it.  Once a window is open you can use a mouse or the keyboard to invoke actions within the application.  For example, if you were using iTunes you could press an icon within the iTunes window to play a music file.

Numerous windows can be open and performing work at any given time.  For example, you can be downloading a file from the Internet using Safari while you respond to an email.  You can even have multiple windows open for a given application.  For example, you could have two Finder windows open with each pointing to a different location on the Macintosh HD.

Windows can be can be stacked on top of each other, overlap with each other, and be in partial view.  You can even place a window over top another window and hide the window that is underneath.  The window that exists on top of all other windows will be the active window and is the only window you will be able to use.  The inactive windows are easily identified because the will be grayed out (if using a non-graphite Aqua appearance).

If you click on any part of a window, that window will move to the top and become the active window.  Thanks to Expose, you can see all open windows with ease.