Since you've got a box of boards and aren't sure what's what, here's how I'd figure it out. The two bigger blue ones are most likely an Uno and a Mega - the Mega is noticeably larger with more pin rows along the edges. The tiny one is a Nano, same brain as the Uno but shrunk down. The board covered in LEDs and little switches is a shield, meaning it plugs on top of the Uno so you can practice wiring without touching a breadboard.
Start with the Uno. Download the Arduino IDE (free), grab a USB cable, plug it in, and load the built-in Blink example. If the onboard LED starts flashing, you've got everything working. That first blink is genuinely satisfying.
Try the example sketches that come with the software before buying anything else. They cover sensors, displays, all the basics. When you're ready for more, the Mega gives you extra pins for bigger projects, and the Nano is great once you want somethig small enough to embed in a finished build. Don't stress about frying things at this stage, the beginner kits are forgiving.