The small image is the thumbnail that shows up when you're looking at products in a category.

Medium image is shown when you view an individual product

The large image is shown when you click the medium image on the product page.

If you already hae your images sized it isn't necessary to use the image settings in admin (although you might use them to tweak image size a bit, especially if you're using extra images to get them to lay on the page the way you want them).

Thanks for your guidance on the directories/subdirectories Ryk, got that working today