Segments are like building blocks, made from 1 or more mesh. Most segments will just be 1 mesh object - the segment is made up using a little setup file, which I imagine the segment editor creates for you when it makes it's way back in. Most segments will be a case of just getting the mesh and texture copied over and hacking a setup file (which is easy because it's all understandable ascii).
A segment is really just a level component that you draw onto the grid - you can also place windows on walls etc, but the actual basis of your level is made from segments, all the walls, the floor, the roof, the windows, the steps etc. Now a good example might be lifts, when you make a lift, it does 2 things, firstly you'd position the bottom of your lift, and it would automatically create a platform to go with it. That would work right away, you'd be able to step on the platform and get moved up - however the platform is known as an entity.
Entities are imported much like segments - except they can do a lot more, you can rotate them, and they're not constrained to the grid in any way - the can do far more in relation to the player, like the moving lift platform for instance, or glass that breaks - you'd actually make your walls and windows then add the window pane as an entity that would sit inside the window to give a nice glass effect.
Van-B
It's c**p being the only coder in the village.