Answer:
A comet has been described as a "dirty snowball"; a collection of rocks and dust, held together with various ices; methane ice, water ice, carbon dioxide or "dry" ice, and many others. It spends most of its time in deep space, far from the Sun, where it never gets more than a few degrees above absolute zero. When a comet does fall into the inner solar system, the Sun heats it up and it begins to melt and vaporize, with the gasses carrying away some of the dust and rocks.
An asteroid is a rock drifting in space. We aren't aware of substantial amounts of ice on the average asteroid.
A meteorite is a rock that was floating through space, and then got caught in Earth's gravity well. It fell through the Earth's atmosphere, and hit the Earth. Meteors happen thousands of times per day, but most burn up or explode during the passage through the atmosphere. A few of these fallen-to-Earth space rocks survive the trip, and these are meteorites.