A path is merely the file's address, similar to your own. When mailed to your house, a letter travels to your country, state, city, street, and finally, hopefully, to your apartment or house number. A computer path does the same thing. It starts with the letter of the disk drive and ends with the file's name. In between, the path lists all the folders the computer must travel through to reach the file.
For example, the path to your My Music folder might be like this: It starts from the computer's C: hard drive, travels through the Documents and Settings folder, and then goes through your user folder (which is named however you established it to be, Kate, for example), and then goes into the My Documents folder. And only then does it reach the My Music folder. The file's name (say you've saved the song Girl from Eponema on your PC) comes last.
In a path, a disk drive letter is referred to as C:\. The disk drive letter and colon make up the first part of the path. All the other folders are inside the big C: folder, so they're listed after the C: part. Windows separates these nested folders with something called a backslash, or \. The file's name comes last.
Put it all together, and you get C:\Documents and Settings\Kate\My Documents\My Music\Girl from Eponema. That's the official path of the Girl from Eponema file in Kate's My Music folder.
Windows XP automatically puts together the path for you when you click folders. Thankfully. But whenever you click the Browse button to look for a file, you're navigating through folders and showing Windows the path to the file.