HTMLEncode and URLEncode deal with invalid characters in HTML and URLs, or more accurately, characters that need to be specially written to be interpreted correctly. For example, in HTML the < and > characters are used to indicate tags. Thus, if you wanted to write a math formula, something like 1+1 < 2+2, the '<' would normally be interpreted as the beginning of a tag. HTMLEncoding turns this character into "<" which is the encoded representation of the less-than sign. URLEncoding does the same, but for URLs, for which the special characters are different, although there is some overlap.
urlEncode replaces special characters with characters that can be understood by web browsers/web servers for the purpose of addressing... hence URL. For instance, spaces are replaced with %20, ' = %27 etc...
HtmlEncode replaces special characters with character strings that are recognised by the HTML engine itself to render the content of the page - things like & become & or < = <, > = > this prevents the HTML engine from interpreting these characters as parts of the HTML markup and therefore render them as if they were strings.
Both HTML and URL's are essentially very constrained languages. As a language they add meaning to specific keywords or operators. For both of these languages though, keywords are almost always single characters. For example
HTML: > and <
URL: / and :
In the use of each language though it is possible to use these constructs in a manner that does not ensure the meaning of the language. For instance this post contains a > character. I do not want it to be interpreted as HTML, just text.
This is where Encode and Decode methods come into play. These methods will respectively take a string and convert any of the characters that would otherwise be treated as keywords into an escaped form which will not be interpreted as part of the language.
For instance: Passing > into HtmlEncode will return >
I don't know what language you are working in, but the PHP manual for example provides good explanations.
URLEncode
Returns a string in which all
non-alphanumeric characters except -_.
have been replaced with a percent (%)
sign followed by two hex digits and
spaces encoded as plus (+) signs. It
is encoded the same way that the
posted data from a WWW form is
encoded, that is the same way as in
application/x-www-form-urlencoded
media type. This differs from the »
RFC 1738 encoding (see rawurlencode())
in that for historical reasons, spaces
are encoded as plus (+) signs.