Upload and Download both refer to the process of transferring a file. When a file is transferred, a copy is created in the location chosen.
Upload means to transfer a file or files from your own computer to another computer. For example, you might transfer a file from your home computer, such as a photo of your dog, to a web server that hosts photo-sharing files such as Flickr.com.
Download means to transfer a file from another computer to your own. An example would be downloading a file, such as an antivirus program, from a web server to your own computer.