Fritz is a stand-alone chess program and a pretty good one from what I've seen (reference: www.chessbase.com). A PGN file is simply a text-based file that lists information about a game (date, player names, moves, annotations, final result, etc.) The PGN file can typically be imported into various chess programs so that you can replay and analyze your game at your leisure. A database is simply a huge collection of games.
One of the neat features of this site is the ability to download and save the PGN file for any of your games.
I'm new to playing chess online. I don't get what many of you guys say by pgn files, databases, and Fritz.
Anyone help?