the concept can require a bit of lateral thinking and, should you venture down the digital mapping path, a complete rethink depending upon what software you use. it seems confusing but isn't really.
to further what john said.
a waypoint is a point on the map (as if you put an X on the map). as far as the gps is concerned, a waypoint is more than just a grid reference. it also allows extra information to be stored with it e.g. a name, an icon. so simplisticly it is an information grid reference. by saving the list of input waypoints as a ROUTE, the gps can guide you from one waypoint to the next. in addition, you may dynamically record any waypoint i.e. a position as a separate waypoint e.g. where the car is in the car park, where's the tent, the pub, where the caravan was before the hurricane.
so, waypoints are what you enter into the gps, either by hand or via a mapping programme.
when you move, the gps will store the positions of where you've been (like laying a breadcrumb trail) which are called trackpoints. a trackpoint is purely a grid reference and time log (time is recorded so it knows what order the trackpoints are in, and as an aside the gps will probably be the most accurate timepiece you own)
trackpoints are what the gps records as you move (there is a lot more to this but that's another tale). you can save your walk as a TRACK. should you decide you don't want to go any further (e.g. bad weather or discover that you are investigating alternative destinations) you can ask the gps to trackback i.e. get it to show where you've been and it will guide you back along the way you have just come from.
you can use this saved track to repeat the walk, in either direction. you may also download the track into a mapping programme and see exactly where you've been.
so you may also share walks.
the only thing to be really, really aware of is that the gps may decide to direct you to the next waypoint that is nearest rather than the next waypoint. take three points a,b and c and these points are on the corners of a triangle (zig-zag). the gps may point you to point c as it's the nearest rather than directing you to c via b. as point c may be at the bottom of a cliff and b is the path down the cliff, you will appreciate that it is an important issue. so you have to be careful in picking where you place your waypoints. after all it is a dumb device and doesn't know where you want to go.
if you set the gps to navigate a route/track at the start of a walk. you can switch it off and switch it on again at anytime and it will continue to navigate to the end. it does this by telling you where the next nearest waypoint is and points you in the direction of it.
it really isn't all that confusing once you've played with one and they are a great tool. depending where you walk, a gps will not replace a map. one of the fun things with a gps is that it will show you that things on maps aren't always where the map says they are.