Crypto vocabulary can feel overwhelming, but three ideas explain most of it.
Wallets
A wallet doesn't hold coins the way a purse holds cash. It holds the keys that let you move coins recorded on a blockchain. A custodial wallet is run by a company on your behalf, while a self-custody wallet leaves you in sole control.
Keys
Your private key, usually backed up as a seed phrase, proves that the coins are yours. Anyone who gets it can take them. Nobody legitimate will ever need to ask you for it.
Networks
The same coin can exist on several networks. USDT, for example, runs on Ethereum, Tron and others. Always check that the sender and receiver are using the same network, because a mismatch can lose the funds.
