Calories come from three sources, or macronutrients: protein, fat, and carboydrate. Many foods contain some combination of all three, just in different proportions. Many high-protein foods, especially meat, also contain fat, so you might get a large hit of fat with your protein. Lean protein foods are those that don't have a lot of fat, like chicken and fish. Red meats, as well as cheeses, can have a lot of fat.
If these terms are confusing for you, I highly recommend getting the book rabidstoat recommended, or looking for another to educate yourself. Fitday.com also has a lot of good basic nutrition information, as does the USDA web site at
www.nutrition.gov. As I start, I'd recommend reading this article
How Food Works on the HowStuffWorks web site. It goes into chemistry a little bit; you don't have to worry about that, but it'll give you some basic info about how the macronutrients work and where they come from.
This is basic knowledge that's really important in learning how to eat healthfully; please do yourself a favor and put in some reading time to learn about it. You don't have to be a dietitian or get into complicated science, but learning how to evaluate a nutrition label and track your intake is an important life skill, in my book.