Jelly, jam and preserves are all made from fruit mixed with sugar and pectin. The difference between them comes in the form that the fruit takes.
In jelly, the fruit comes in the form of fruit juice.
In jam, the fruit comes in the form of fruit pulp or crushed fruit (and is less stiff than jelly as a result).
Jello is completey not related to jam and jelly. Jello is made from gelatin.
Jello is eaten alone usually with whipped cream, while jam and jelly is usually not eaten alone but on crackers, sandwiches, etc.