A Window object is just what it sounds like: its a new Window for your application. You should use it when you want to pop up an entirely new window. I don't often use more than one Window in WPF because I prefer to put dynamic content in my main Window that changes based on user action.
A Page is a page inside your Window. It is mostly used for web-based systems like an XBAP, where you have a single browser window and different pages can be hosted in that window. It can also be used in Navigation Applications like sellmeadog said.
A UserControl is a reusable user-created control that you can add to your UI the same way you would add any other control. Usually I create a UserControl when I want to build in some custom functionality (for example, a CalendarControl), or when I have a large amount of related XAML code, such as a View when using the MVVM design pattern.
When navigating between windows, you could simply create a new Window object and show it
var NewWindow = new MyWindow();
newWindow.Show();
but like I said at the beginning of this answer, I prefer not to manage multiple windows if possible.
My preferred method of navigation is to create some dynamic content area using a ContentControl, and populate that with a UserControl containing whatever the current view is.
<Window x:Class="MyNamespace.MainWindow" ...>
<DockPanel>
<ContentControl x:Name="ContentArea" />
</DockPanel>
</Window>
and in your navigate event you can simply set it using
ContentArea.Content = new MyUserControl();
But if you're working with WPF, I'd highly recommend the MVVM design pattern. I have a very basic example on my blog that illustrates how you'd navigate using MVVM, using this pattern:
<Window x:Class="SimpleMVVMExample.ApplicationView"
xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
xmlns:local="clr-namespace:SimpleMVVMExample"
Title="Simple MVVM Example" Height="350" Width="525">
<Window.Resources>
<DataTemplate DataType="{x:Type local:HomeViewModel}">
<local:HomeView /> <!-- This is a UserControl -->
</DataTemplate>
<DataTemplate DataType="{x:Type local:ProductsViewModel}">
<local:ProductsView /> <!-- This is a UserControl -->
</DataTemplate>
</Window.Resources>
<DockPanel>
<!-- Navigation Buttons -->
<Border DockPanel.Dock="Left" BorderBrush="Black"
BorderThickness="0,0,1,0">
<ItemsControl ItemsSource="{Binding PageViewModels}">
<ItemsControl.ItemTemplate>
<DataTemplate>
<Button Content="{Binding Name}"
Command="{Binding DataContext.ChangePageCommand,
RelativeSource={RelativeSource AncestorType={x:Type Window}}}"
CommandParameter="{Binding }"
Margin="2,5"/>
</DataTemplate>
</ItemsControl.ItemTemplate>
</ItemsControl>
</Border>
<!-- Content Area -->
<ContentControl Content="{Binding CurrentPageViewModel}" />
</DockPanel>
</Window>
