The setting is the time and the place where the action happens. It might be extremely specific, like the beginning of Hitchcock's Psycho. First we see "Phoenix Arizona" as the camera pans across a cityscape. Then "Friday, December the Eleventh." As the pan changes to a zoom-in on a distant building we read "Two Forty-Three P.M." The zoom-in dissolves to a shot that is a crane movement bringing the camera closer to the window; then there is a match cut as as a new dolly movement finishes the sequence by going under the venetian blinds and seemingly right into the room.
In another film the setting might be much less specific, for instance the famous Star Wars title card: "A long time ago in a galaxy far, far away..." In either case the setting is both the place and time where things happen, or at least start to happen. On the Waterfront, for instance, begins on the Hoboken docks with characters dressed like people from the 1950s; as the movie continues the scenes will jump from place to place in Hoboken. The shots are in different physical locations but the setting remains a tough neighborhood by the waterfront. Likewise, all the action of the film happens during a single week.
The dictionary says a character is "one of the persons of a novel or drama." Any given story can have many characters (think of Lord of the Rings) but only a few are important to the story. These we can call the central characters, and they are the ones who drive the action. They don't have to be humans; they might be cats, dogs, robots, or the toys in a toy box.
No matter how many central characters there are, there is usually just one who is the main figure. We call this character a protagonist. The protagonist is not necessarily a good guy (like the gangster in Scarface) but is the one the audience cares about. The story generally revolves around the protagonist. We watch what this character does and what happens to them; we observe them trying to reach some goal; we see what happens when they get caught in some sort of conflict. They are the person we're rooting for, or at least the character with whom we get emotionally involved.
Another central character is the antagonist, the person we might call "the bad guy" in the movies. This the character who stands in the way of the protagonist. The word antagonist comes from the Greek antagonistēs, "opponent, competitor, villain, enemy, rival." They might be preventing the protagonist from doing something; they might be threatening the protagonist; they might be making the life of the protagonist difficult in one way or the other.
The plot is the arrangement of events that tells the story. There is an important distinction to be made here. The story is what happens to the protagonist in linear fashion: first this happens, then that happens, then something else happens, and the story comes to a close. First A then B then C. Dorothy is transported by a tornado to Oz, is told she needs to find the ruby slippers to get back, makes friends and has conflicts as she searches for them, defeats her antagonist (the Wicked Witch of the West), and then taps her heels together and goes home to Kansas.
The plot, however, is not the same thing as the story. The story is what happened, but the plot is how the writer tells us what happened. The writer could start with the ruby slippers and the trip back to Kansas, and then have Dorothy tell Auntie Em about how their house fell on a witch. That would be a flashback, and movie plots (particularly movies from the 1940s) often tell their stories in a fractured way that isn't linear at all. The plot can tell the story backwards (Memento), from two or three different points of view that all occur at the same time (The Handmaid), or with the events all jumbled up in no particular order at all (Pulp Fiction). How the writer arranges the events is the plot.
We can define a theme as a unifying or dominant idea that exists outside of the plot and characters. Though the plot of the first Toy Story is about getting everyone back to Andy as the family moves to a new home, the theme might be that Buzz and Woody have to learn to work together to accomplish that goal. Or it might be that the toys have to learn to accept change and move on with their lives. Maybe it's about the importance of friendship. All these choices could be considered the theme of Toy Story, or might be ranked as major or minor themes of the film.
Here's a fun list of fifteen common themes; note that there aren't that many of these "big ideas" and almost all films share themes with other movies.
A strong plot has what is called a "narrative arc" that contains these four things:
Setup: The world of the story, the characters who inhabit it, and finally, the conflict that is going to have to be resolved before the story can come to an end.
Rising Tension: Obstacles present themselves to the protagonist as he or she attempts to resolve the conflict. How the protagonist gets around these obstacles is what keeps us watching through most of the story. If more than one problem appears (as it does in most stories), then these obstacles become more and more difficult, usually with higher stakes. Finding the Wizard is much less difficult than defeating the Wicked Witch, though Dorothy must do both in order to reach her goal.
Climax: This is the turning point of the plot and the moment when the rising tension reaches its highest point. This is when Luke listens to the Force, closes his eyes, and drops a bomb into a tiny duct in the Death Star. In Jaws, it's the moment when Chief Brody shoots the oxygen tank in the giant shark's mouth. It's when Katara and Zuko defeat Azula, when Aang finally gets back into the Avatar State and strips Ozai of his power. It's the moment when Harry finally defeats Voldemort.
Resolution: The end of the road, the action that occurs after the climax. The characters embrace or joke or mourn or reflect, depending on what just occurred. Perhaps we meet all the characters years later as they send their children off to Hogwarts, or maybe we watch the cowboy riding off into the setting sun.
Some other narrative terms that are good to know
An element of the film that is from the world of the story, e.g. the sound of a character playing the piano.
An element of the film that is not from the world of the story, e.g. a music track added to heighten mood.
A person, situation or event that propels a character to change.
The established order at the beginning of a film.
An event or events that disturbs the established order.
Background information about characters, places and objects that is needed for the storyteller to set-up the story. The setup of the narrative arc often contains the bulk of the exposition.
A pattern of increasingly intense action that occupies the bulk of the film. Action may be psychological and/or physical. Same as the rising tension defined above.
After the climax, the action diminishes or falls off as the complications of the conflict resolve. This is the same thing as the resolution defined above.