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Direct3D is a API for rendering 3D graphics. The current version to care about is DirectX 11 and DirectX 12. These pages is about DirectX11. Direct3D is part of DirectX and is available on Microsoft windows and Xbox platforms (Xbox, Xbox 360 and Xbox One).

The Basic
At the center of DirectX11 is the device ID3D11Device. It is used to create resources such as buffers and textures. The rendering is done with another type of object called a device context, ID3D11DeviceContext. Device contexts are created from the device and with multiple context one can prepare rendering on multiple threads at the same time. The split into device and context was done in DX11 so in older DirectX version everything is in the device but with slightly different function names.

HLSL: Used to write shaders.
Effect: Files that contain both shaders and the state.