Python is a programming language; a Jupyter
notebook is an interactive environment that runs code in cells
alongside text and output; Colab is Google’s free,
cloud-hosted version of that notebook environment.
Colab is essentially Jupyter in the cloud — if you know one, you can
use the other.
Notebooks are not Python-only; they can run other languages (and
shell commands) through different kernels.
Opening a shared notebook does not save your edits. Use File
→ Save a copy in Drive to keep a persistent, editable
copy.
You can download any notebook (File → Download → Download
.ipynb) and run it locally with Jupyter, e.g. via Anaconda.