Why http://www. ?

A complete web address might look like https://www.example.com/Folder/page.php?name=”fred”

What do all those components mean?

https:// is called the protocol. It tells the web browser what kind of connection is required.
In common use you will only see http:// and https:// those mean HyperText Transfer Protocol – the “s” signifies “secure”.  Hypertext refers to web page coding language HTML (HyperText Markup Language)

www. is a subdomain of example.com.  Although commonly www. is assumed and so strictly not necessary it can be used to discriminate between different parts of the same primary domain name.
A common example is shop.example.com where the owner of example.com operates an online shop which might even be located on a different web server.

Another example you may have seen is a website address like example.uk.co, that is a commercial response to the shortage of .co.uk names.  Someone bought uk.co (.co is the country level domain for Columbia) and now sells subdomains to people who find their preferred .co.uk name is owned by someone else. I’ve heard of people being told by unscrupulous salesmen that “.uk.co will be replacing .co.uk” .  No it isn’t and it would be a bad mistake to buy a .uk.co domain (in my opinion), its future is uncertain.

What about example.co.uk?  UK is the top level country domain for the UK and until recently there was a very limited list of second level domain names available like .org.uk (organisations, i.e. charities etc), .net.uk (network providers), .ac.uk (academic institutions), .gov.uk (government), and the very seldom used .ltd.uk exclusively for limited companies and best avoided as it must be relinquished if the company status changes. .co.uk is by far the most widely used UK second level name, although primarily intended for commercial organisations anyone can register a third level name like example.co.uk (and that includes the right to add further subdomains like shop.example.co.uk Few other countries operate a hierarchical domain name structure like the UK’s only hence example.fr in France and since 2015 the UK has made .uk names available here with no requirement for a second level element (.co .org .gov etc).

example.com is the domain name which can be used for the location of your web site and maybe in your email adresses. Domain names are not “owned” but are issued on an annual lease with the automatic right of renewal for an annual fee.

/Folder is just that, a folder on the domain name owner’s web server.

page.php is a the name of a file within that folder, various file-types are possible, many simple web pages are .html (or .htm)
.php means the page is created using a computer language called PHP. When that page is requested the web server will run the page code through the PHP language interpreter and the page will be created at that point. The advantage is that the page becomes dynamic. At the simplest level it might just mean it includes the current date and time but it is extensively used to build complex web pages by fetching parts of the page from a database.

If no file name is specified then the server will fetch a designated default page, typically index.html

?name=”fred”  this is a parameter that will be fed to the PHP program to modify the action of that program.
The PHP language interpreter program would “fill in the blanks” such that any blank with the label “name” would be given the value “fred” and the program might simply respond “Hello fred”.
The complete page address https://www.example.com/Folder/page.php?name=”fred” might have been constructed by another PHP program behind a form on a web page that requests your name.  You may be wondering “what use is that?” Well it’s just a simple example, programmers will use it for more complicated circumstances “fred” might be used to look up a database entry that provides a list of data like fred’s postal address, email, phone.

Is it necessary to type https://www.example.com/when I can just enter example.com into a web browser to get to the same place?

Not usually. If the site is properly configured then example.com will be “corrected” to https://www.example.com It is best to configure your web server to “force” that change as it allows you to use subdomains at some future date.  If the server is configured to force www.example.com to fetch example.com it will be difficult to use subdomains later.
In fact there’s no technical reason why you can’t have two websites one at example.com, the other at www.example.com (but people will be confused!).

Is the address case sensitive?

Parts of it are.

www.example.com can be any mixture of lower and upper case letters.
https:// must be lower case
/Folder/page.php?name=”fred” should be copied exactly as is, in some cases the programmer may allow for variants but there’s no way of telling, if instead of /Folder someone typed /folder it would (probably) give a “not found” error.
It can be useful to used mixed case in the www.example.com part. Take the example www.lumberjacksexchange.com Humans reading the name may not immediately spot where the breaks between words should be www.LumberjacksExchange.com helps understanding – and avoids misinterpretation as www.LumberjackSexChange.com