Ubuntu entry will boot your Ubuntu system.
Advanced options for Ubuntu opens a submenu that allows you to chose which installed kernel version you want to boot and whether to use systemd (available and default since 15.04) or upstart. It also allows you to boot Ubuntu in recovery mode.
EFI/ubuntu/MokManager.efi entry will boot a MOK Manager tool. MOKs are "Machine Owner Keys" which are used to sign boot loaders. This is needed if you want to enable your UEFI system's "Secure Boot" feature and add new trusted boot loaders. You will probably not need it as average use, it's easier to turn "Secure Boot" off.
System Setup will get you into your UEFI setup. You should be able to achieve the same by pressing a special key like Del or F2 (depending on your UEFI) before GRUB starts.
All other entries will pretty sure boot into Windows equally.
If you want to tidy up your GRUB menu by renaming, deleting or reordering some entries or putting them into submenues, you can do this most easily using a tool called
grub-customizer. You can learn how to install and use it here: How do I customize the GRUB 2 menu?