Syntax refers to the structure of a language.
For example, the general sentence form "noun intransitive-verb adverb" tends to be well-formed syntactically, wheras "noun intranstive-verb verb" isn't.
So - "John shouted loudly" is well-formed syntactically, but "John shouted walked" isn't well-formed.
Semantics refers to the meaning of the language. So the phrase "George Bush is the President of Canada" is wrong semantically, despite the fact that it's a perfectly well-formed sentence (and therefore correct syntactically.)
Phonology is rather more complex - it refers to the way that sounds are used within a language. A phoneme is an indivisible sound, and quite separate from the letters used to write it. So, "sh" is a phoneme, but not pronounced "S, H".
A sample question in phonology is the "cot-caught merger". In British English, the vowel sounds in the two words are completely different. In Canadian English, they are indistinguishable, and in American English, the question is one of regional accounts (according to some reports, 40% of US English speakers pronounce them the same).
Phonology is closely related to phonetics, which is the study of how the sounds are produced. Phonology is the study of how they are used.