This sounds fancy, so to make it a bit less daunting:

• roux - flour and fat (typically butter), usually in equal amounts by weight
• béchamel sauce - roux + milk, often with nutmeg for flavoring
• mornay sauce - béchamel sauce with grated cheese

When making the béchamel sauce, add the milk a very small amout at a time to prevent clumping, and mix well over medium heat between additions.