The difference between Gender and Sex is one of the founding principles of the modern concept of gender. This principle states that gender identity - the internal psychological experience of gender - is separate from, and not necessarily aligned with, the physical sex characteristics of your body. This can be difficult to understand for those whose gender identity matches their assigned sex (cisgender) but can result in discomfort and dysphoria for those whose internal experience of gender does not match their body or how others view them (transgender).
Gender roles refer to the expected behavior and responsibilities a society has for men and women, and can cover anything from clothing to mannerisms to social obligations to what jobs one is allowed to have. Anything considered "masculine" or "feminine" but which is not directly related to physical sex falls into this category. Some stereotypical examples include emotional vulnerability as "female" and physical labor as "male", or dolls for girls and trucks for boys. Because it's culturally dependent, gender can vary widely between regions and time periods; for example, skirts may be considered masculine in one culture (e.g. Scottish/Gaelic kilts or ancient Egyptian shendyt) but feminine in another (e.g. modern Europe or America). How rigid gender roles are and the reaction to bending or breaking them also varies widely.
In many cultures, especially Western ones, gender is seen as a binary choice between male and female, although there is increasing awareness of transgender and non-binary identities. Other cultures may already have three or more genders, such as Two-Spirit people in many Native American societies or Hijra in India.