Perl 6 is a programming language. By itself it's only a specification - it only specifies how code written in it should be executed, and what should it do.
Pugs is a Perl 6 compiler and interpreter. It is a program that allows you to execute Perl 6 code. It's not the only possible implementation for Perl 6 but, so far the most complete and advanced one. If you'd like to run Perl 6 code, you should download and install Pugs.
Parrot is a virtual machine, which executes a high level bytecode. It is intended to be an attractive virtual machine for running various dynamic languages such as Perl (5, 6, or other versions), Python, PHP, Ruby, Lisp, Scheme, Basic, etc. Pugs can emit Parrot bytecode, but does not require it to run Perl 6 code.
Hope it helps. If you're still confused you're welcome to join #perl on Freenode and we'll explain things to you.