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Initialisms are made from the first letter (or letters) of a string of words, but can't be pronounced as words themselves. Examples include “FBI,” “CIA,” “FYI” (for your information), and “PR” (public relations).
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Acronyms are made from the first letter (or letters) of a string of words but are pronounced as if they were words themselves. Examples include “NASA” and “NIMBY”(not in my backyard).
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Abbreviations are any shortened form of a word.
Sometimes acronyms like "scuba" become so common that they're accepted as words in their own right. "Scuba" was originally an acronym for "self-contained underwater breathing apparatus," but now dictionaries include it as a word.