Below I sum up Prateek Joshi's awesome explanation.
The theory:
- URI (uniform resource identifier) identifies a resource (text document, image file, etc)
- URL (uniform resource locator) is a subset of the URIs that include a network location
- URN (uniform resource name) is a subset of URIs that include a name within a given space, but no location
That is:

And for an example:

Also, if you haven't already, I suggest reading Roger Pate's answer.