When used in reference to computers a program is a combined set of instructions to the computer to get a task, or tasks, done. To visit this site and read this page you are most likely using something called a "web browser". A web browser is a program that lets you "surf" the World Wide Web -- a part of, or service on, the Internet. There are many different browsers including Interent Explore, Fire Fox, Opera, and Safari. All of these are programs.
Other programs include:
Word Processors, used for writing letters, books and other papers or documents. Examples are: Open Office Writer, MS Word, Word Perfect.
Email Programs, used to compose, send, receive and read email. Examples are: Pegasus Mail, Eudora, Outlook.
Graphics Programs, used to create and manipulate graphic images and electronic photos. Examples are: Paint Shop Pro, Corel Draw, Photo Shop, Gimp.
Spreadsheet Programs, used to crerate and manipulate data (most often numeric/financial). Examples are: Open Office Calc, Excel.
Generally, if you are doing something on your computer you will be using a program to do it. Programs that work on your computer are often called "applications" -- with the idea that they are applied to doing something. Programs that work on your computer but interact with with a program on another computer are often called "clients" -- your email program could be called an email client.