Basically, a component (or connector) is a functional piece that performs a single operation from a Talend application. For example, tMysqlInput extracts data from a MySQL table, tFilterRow filters data based on a condition.
Physically, a component is a set of files stored within a folder named after the component name. All native components are located in the <Talend Studio installation dir>/plugins/org.talend.designer.components.localprovider_[version]/components directory. Each component is a sub-folder under this directory, the folder name is the component name.
Graphically, a component is an icon that you can drag and drop from the Palette to the workspace.
Technically, a component is a snippet of generated Java code that is part of a Job which is a Java class. A Job is made of one or more components or connectors. The job name will be the class name and each component in a job will be translated to a snippet of generated Java code. The Java code will be compiled automatically when you save the job.
Talend Component Kit helps you creating your own components.