What's the difference between a click and a lead?

A "click" is when a potential prospect clicks on link somewhere on the internet. In the case of email traffic, that means they clicked on the link you advertised and visited your website. (These are also called "web visitors", too.)
 
A "lead" is when someone opts in to your lead capture page and signs up for your email list. This person has shown an interest in what you had to offer on your lead capture page. 
 
Most lead capture pages simply ask for the first name and email address. While others ask for name, email, phone, and a variety of other information. The more questions you ask though, the less percent of the clicks will become leads.