Snow is what happens to rain when it is so cold that the raindrops turn to ice crystals. Snow is white, can be very soft and you can use it to make snowballs or snowpeople out of.
Thunder is the loud rumbling sound made by lightning. Thunder can also describe other loud noises, for example "the herd of horses thundered by".
Wind is just the large scale movement of air. Wind happens because some parts of the world get heated up more than others by the sun, and it makes the air there get bigger, so the air has to try and move somewhere it has more room. Where it is cold, the air gets smaller, so wind is always moving between places that are different temperatures.
When it is very windy it is called a storm. Wind can be very dangerous, but it can also be turned into electricity using wind turbines or used for other purposes using windmills.
There are lots of words that mean different kinds of wind, like breeze for a gentle wind, gust for a sudden burst of wind, or gale for a very strong wind.