Winery: A winery is a physical building or property licensed to produce wine. These might also have permits for tasting rooms. A winery does not necessarily own the grapes or vineyard. The winery can produce and sell its own label wine by buying the grapes or produce wine for third party labels.
Vineyards: A vineyard is a plantation of grape vines grown for winemaking. The vineyard can have a winery or not. Grape growers may sell their grapes to other wineries to produce wine under a different label, or they may produce their own label by taking their grapes to a licensed winery and use their equipment and facilities to produce the finished wine.
Cellar: A wine cellar is a place to store and age wine. These can be as basic as a temperature controlled warehouse or as elaborate as a cave dug deep into the hill and naturally cooled by the earth. These do not necessarily produce the wine itself, but are experts in preserving and aging wine.
An estate-bottled wine: is made entirely from grapes owned by the winery, and the wine is made entirely on the winery's property. There is regulation in place that determines that a wine cannot leave the property during fermentation, aging, or bottling. The winery and vineyards have to be located in the very least in the same appellation region if not in the same physical property. In both instances, the vineyard/grapes have to be controlled by the winery. In the U.S., the "estate" term has been expanded to include not only vineyards owned by a wine label, but also ones that are managed or controlled by the winery, even if they're owned by someone else. Wines labelled "estate bottled" are regarded of better quality due to the controls in place that regulate the production process thus safeguarding the wine’s integrity.
Remember: Drink sensibly, following the health authorities alcohol consumption guidelines