There's no such thing as a silly question, especially when it comes to understanding the difference between UK/GB/England/Wales etc ... so don't be embarassed to ask it!!
The answer (as I understand it and I'm not Welsh!) is that Wales is a part of the UK, in the same way that England and Scotland are. Wales therefore elects 40 Members of Parliament, who represent their constituents' interests at Parliament in London. However, because of Wales' unique history, language, culture and identity, it has a 'National Assembly' which sits in Cardiff (although that's only been up and running since 1999 - the first real self Government since 1536). The Assembly comprises elected 60 Members, who control most local affairs (i.e. education, transport etc ...). It cannot, however, raise taxes or introduce new legislation (unlike the Scottish Parliament). You'd have to ask the Welsh what they think of the Assembly!
Anyway, the best way to understand the difference is to visit Wales. I love Wales and the fact that it can be so different from England. The fact that so many people still speak Welsh as a first language is a miracle to me and a joy to hear. I have always found the Welsh to be very friendly and the countryside is beautiful.
So, hope that answers your question!