How to Setup a Ledger Hardware Wallet and the lingo you need to understand

Address
 Addresses are like bank accounts. Your Wallet can make as many as you want and will control all of them. How? Read on.

Private Key
 Private Keys are like passwords for your Addresses. A private key is needed to send your crypto to another address. All your addresses and Private Keys are stored on your Hardware wallet ONLY.

Device PIN
 Each wallet has a PIN number you select initially. Your wallet PLUS your PIN number will give anybody full access to all your keys and your crypto!

Recovery Seed
 When you setup your wallet you will be presented with 24 words. These words are what we call your "Recovery Seed". Anybody who has access to these words will have access to ALL YOUR CRYPTO. It is a great backup in case you lose your PIN and/or your hardware wallet but can also be misused. Therefore, store them VERY carefully and never let them touch anything connected to the internet!

Passphrase
 Passphrase is an advanced and optional feature on top of your PIN number:
 
 Official documentation and instructions:
 Advanced passphrase security – Ledger Support