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Espresso is just strong coffee. It's made a certain way, with steam pressure. If you ask for 'a cup of coffee' in some European countries, that's what you get.
Cappuccino is espresso with a little steamed milk and topped with steamed milk foam. It's like how we drink 'American' coffee with a little milk.
Latte is half/half coffee and milk. It's actually warm milk flavored with espresso. In French it's called cafe au lait, in Germany it's kaffe mit schlag. In Europe the waitress comes around with a pitcher of hot milk and one of coffee, and she pours them together into the cup.
Mocha is a latte with cocoa and sugar, half coffee, half hot-chocolate.