I can't post any sites here because it goes against forum rules, but if you do a search in the Googles for "Win Place Show Bet Kentucky Derby" you should get a couple sites that explain betting on horse races, odds, which are the best bets, etc.
Just the quick TLDR -
Win is a bet for who you believe will be the 1st place horse (Risky bet, my opinion)
Place is a bet for a horse that you believe will be either the 1st or 2nd place horse (Less Risky, my opinion)
Show is a bet for a horse that you believe will be either the 1st or 2nd or 3rd place horse (Least Risky, my opinion)
Trifecta is a 3 horse bet, ie you have to guess in order who will be the 1st, 2nd, and 3rd place horse (Most Risk, my opinion)
There is more to it and I'm no expert, but have bet on a few horse races in my time. Otherwise have fun and don't bet too much.