EmperorFool
Deity
It's the little tank/airplane/ship (probably for filtering land/air/naval units)
Yes, that's exactly what those are.
Wounded and Healthy
Land, Air, Sea
Non-combat (worker, settler, missionary, exec, scout, explorer, spy) and combat -- house and tank IIRC
Foreign (red) and domestic (green)
In BUG 2.30, clicking a filter hides units that match it. Click again to show the units. The soon-to-be-released BUG 3.0 adds a more intuitive behavior (click wounded to see wounded units only).
BTW, feel free to ask about any features or interface elements you do not understand. Sorry the help file isn't working for you. Are you on Windows XP?