You'r asking very general basic info in probability. It may be a better idea to read more and ask if you got stuck somewhere. You can start from here:

Probability density function - Wikipedia, the free encyclopedia

The difference between pdf and cdf is *very* obvious, very simple.

If I were you, I start with a simplest continuous dist, say Uniform, and calculate all that you were asking, cdf, MGF, Mean, E(X^2), variance, ... and all, as given here:

http://en.wikipedia.org/wiki/Uniform...on_(continuous)

- O, reading is not a bad thing, but it takes time