Christian - umbrella term for followers of Christ. This includes Catholics, Orthodox and Protestant. All have the bible as their central text.

Catholic - religion that started with Jesus and St Peter. Largest Catholic Church is the Roman Catholic. Has the Pope.

Protestant - a group of Christian churches that started as a protest to the Catholic Church. First one was Lutheranism, founded by Martin Luther in the 16th century I believe.

Orthodox - began as a split between the Eastern and Western (what we now call Catholic) church. Split (referred to as a schism) was caused by historical and language differences and some theological differences between the east and west. Occurred around 1054.

Baptist - major branch of Protestantism