I think other posts covered your specific situation for now but some general info that may be helpful later/for others:
While it's true that paying off high interest debt first maximizes long-term wealth, it's worth pointing out that cashflow management is even more important. In some cases, you can justify paying off high payment, lower-interest debt first to free up more of each paycheck and limit your risk of default. A lot of people overlook this and then get in trouble when they lose their jobs/have to go to the hospital and can't afford their debt service payments anymore. Defaulting on debt (especially debt you can't discharge, like student loans) ends up extremely expensive in fees and penalty rates, which often offsets any wealth savings you may have accumulated by focusing on longer-term, higher interest rate debts. If paying off debts with higher monthly payments stabilizes your cash flows so that you are less likely to default in the event you lose your job or have an emergency, then it can be very worthwhile to do so.
That said, you can't go wrong paying off high interest student loans first. Generally recommended priorities are emergency fund, 401k to company match, high interest private student loans, other high interest debt, lower interest private student loans, other debt, roth ira or other ira, 401k beyond company match.
Generally speaking, you will be investing through your 401k and IRAs (some definitions below). Your company should walk you through the 401k setup process, but you'll need to set up an IRA for yourself. Just head over to your bank or credit union and they should be able to help you out. You can also set them up online through, say, Vanguard's website but they are obviously biased toward their own products so caveat emptor. Once your IRA is set up, you'll direct it to invest in stocks, bonds, commodities, etc, whatever you want.
For your questions regarding specific investments:
401k: Employee-sponsored account that can invest in stocks, bonds, etc. Contributions are deducted straight from your paycheck and are therefore not taxed until withdrawn after you retire. If you withdraw any money before 59+, it will be taxed as income and penalized 10%, so bear that in mind. Always contribute to employee match because it's basically free money.
IRAs are just investment accounts you direct. You set them up at a brokerage or bank. You contribute what you want to it, when you want, decide what it invests in, etc. Gains are taxed @cap gains rate, which is lower than income tax. Some restrictions on withdrawals etc.
Roth IRAs are special IRAs with tax benefits. Basically the opposite of a 401k: your income is taxed now, then put in the IRA, and it's not taxed when you pull it out later. There are other benefits but you should talk with a rep about them. Limits on how much you can put in each year, and you have to be below around 150k income, which for the vast majority of people is not an issue lol.
CDs are just savings accounts at banks. They are really not worth it at current interest rates. You also can't access the money without penalties or waiting a long time. Your chance of losing money on paper is basically 0 but any money you make will probably be offset by inflation anyway, and you lose access to the money for a long time.
Bonds are corporate debt. You essentially become the lender to a business and therefore collect interest, plus the lump-sum repayment at the end. Biggest risk is that they miss payments and/or go into bankruptcy. Generally a little safer than stocks but typically lower returns.
Stocks are technically ownership interest in a company. Basically, whatever assets they own minus whatever debt they used to get those assets is the value of the stock. Biggest risk is the assets go down in value, because you basically eat all of the gains and losses. Works basically the same way as equity in a house (value of the house - amount owed on mortgage = value of your ownership in the house), except stocks tend to swing more than houses. Have high returns historically but prone to big declines (think '07/'08).
ETFs/indices (indexes) are baskets of investments. A stock index is just a bunch of stocks, a bond index is just a bunch of bonds, etc. Generally recommended for people who can't spend time researching companies because it protects you from the risk of that one company you gave all your money to going bankrupt, eg Enron .
529 plans are worth knowing about too. They're basically savings accounts with tax benefits IF the money is used for education-related expenses. Good for you if you're thinking about masters/phd, good to set up for college funds, etc.
Disclaimer: None of this constitutes official investment advice, please speak to registered advisors, etc. etc.