Proteins are a linear chain of amino acids. there are 20 naturally occuring amino acids. the order of the amino acids, read from N terminus to C terminus, is called the primary structure.
eg, alanine, valine, glutamin, threonine, etc etc. this list is the primary structure.
now when you have a linear chain of stuff, it doesnt just sit there and stay linear. it curls up, because the amino acids interact with each other. The majority will curl up into 1 of 2 shapes: the alpha helix, or the beta sheet, the difference just being the shape... the helix is.... helical, and the sheet is a bit like a 2d plane (but obviously its not 2d). this structure is called the secondary structure.
now these sheets and helices dont just sit there alone, they interact with each other. the way that they interact with each other is called the tertiary structure.
http://www.proprofs.com/flashcards/upload/a3985729.JPG& pretty pictures to help
