Cookies are small files that websites place on your computer while surfing internet. A website than can determine if you are a returning visitor and use this information to automaticaly login you or serve you customized web content. This option will delete all Firefox cookies except those that you explicitly define to keep by cliking on "Urls to keep" next to checkbox.
Web cache is used to make browsing faster. Cache contains pictures, videos, sounds and other files from websites you visited so on a next visit those files are reused from your disk instead of downloaded from internet. However, quick look at the cache (temporary internet files) can tell a lot about your browsing habbits. Check this box to have Firefox web cache deleted.
Your browser keeps track of all visited websites and pages. Use this option to delete history of recently visited web sites (Firefox only).
Autocomplete is an option when your browser suggest you list of recently typed terms when you start typing, often on various web forms where you are required to enter email address etc. While handy this functionality (if turned on in Windows) means that anyone can see what you have entered into those forms. This option will clear that list (Firefox only).
Similar to autocomplete forms (see above), this option will clear all remembered passwords that you previously entered on web (Firefox only).
Firefox keeps history of all downloads. Use this option to clear this history.