The difference between leader and tippet has been covered above, but to keep this simple.
Use a surgeon's knot (very easy to tie) to connect about 2-3 feet of your TIPPET to the end of the leader. Tie the fly to the end of the tippet.
As you lose/change flies you will shorten the tippet. When it gets too short clip the tippet off of the leader and tie a new one on.
You get more life out of your leaders this way. If you are a beginner you're probably not going to notice any major performance differences between leaders. 4x leader with a 5x tippet is a good place to start for trout.