They're all langagues that are run on a web server that takes a web request, processes it returns a response in the form of HTML back to your browser
ASP is Microsoft's product (Active Server Pages) and uses VisualBasic Script and JScript to do this server side processing.
JSP is Suns' product (Java Server Pages) and is similar to ASP except that is uses Java as the language
PHP is an open source language that is used for the same purpose.
Perl (Mod Perl) is an other oopen source languag that is used for the same purpose.
Cold Fusion is a product by Allaire/Macromedia that does thes same as well. Its primarly a tag-based language though.
Its a matter of picking the language, web server/ Operating System you want to build your web application on.