Retired Documentation: You are using the documentation for version 1.7.3 which was retired in 2013. Go here for the latest version documentation or check here for your available upgrades to the latest version.

Differences between Modules, Plugins, Extensions, and Expansions

ExpressionEngine includes different types of add-ons:

Plugins are small run-time enhancements. They are simple to create. The plugin architecture is designed to enable the plugin's author to affect the output of ExpressionEngine in a wide variety of ways.
Modules are larger systems that can be integrated into the ExpressionEngine control panel. Almost anything that can be achieved as a stand-alone application can be designed as an ExpressionEngine module. Modules typically store content in the database and can have actions associated with them.
Extensions are "hooks" in the system that allow the add-on to pass information and add functionality to existing interfaces.
Expansions add a new layer of functionality to ExpressionEngine. There is only one expansion: the Multiple Site Manager.

Review thedevelopers section for more information.