Sorry for asking such basic questions...
Not a problem!
In random order...
Widely used capacitors come in two forms: Electrolytic (little cylinders) and not. They both do the same thing in circuits, but the electrolytics can store more charge, handle higher voltages. The electrolytics are POLARIZED, i.e. it matters "which way around" you connect them. A leg will be marked + or -, if marked +, connect that leg to the higher voltage side of the gap the capacitor is going across. It is hard to use the wrong type of capacitor... find one of the right capacitance, and voltage rating, and use it. (Voltage rating: If you have a 5v circuit, you need a capacitor rated for 5v or more... and it is wise to give yourself a safety margin. 16 or 25 volt capacitors aren't much bigger or more expensive than 5 v capacitors... if you can even buy something with such a rating.
Diode, e.g. 1N4007: A "one way gate" for electricity. It will only let the electricity flow one way. It may be in the kit for being The Diode, as in...http://www.arunet.co.uk/tkboyd/ec/ec1relay.htm
Optocoupler, aka optoisolator: That 4N35 has a datasheet at...http://measure.feld.cvut.cz/groups/edu/osv/4N35.pdf
... and you can learn about them in general from...http://www.arunet.co.uk/tkboyd/ec/ec1optoiso.htm
Darlington, FET : These are types of transistor.
L7805 is a voltage regulator. You give it 8-14 olts, approx, and the voltage can wobble, and it gives back a nice clean "REGULATED" 5v. You need some bits and pieces, mostly capacitors, in association with the 7805
The LD1117 is another voltage regulator, this time giving 3.3v. See http://www.datasheetcatalog.org/datasheets/700/392975_DS.pdf
You need some switches (momentary and/ or toggle), LEDs and resistors, if you don't have them. Be sure to include a resistor when connecting an LED....http://sheepdogguides.com/arduino/aht0led.htm