Windows application is the desktop application like word excel those are windows applications
web application are simply the web site like dany web

If you want to know the differences between SQL Server 2000 & 2005 you'll have to read the documentation, there's a TON of things that are different / updated. That's kinda like asking what the difference is between we 1999 Toyota Camry and a 2008 Toyota Camry. You can't really sum it up in a few sentence. It's more like a books worth of information. Same goes for the diff between asp.net 2.0 and 3.0