The triceps brachii is the muscle that most are referring to when they say "triceps". It has three heads: a lateral, a long, and a medial head, which are all located at the rear of the upper arm. The triceps brachii: lateral head is located farthest from the body (i.e. outer arm). The triceps brachii: long head is located behind/beside the lateral head (i.e. rear arm). The triceps brachii: medial head is located adjacent (lower-wise) to the long head (i.e. lower and inner arm).
While the triceps are a single muscle group, they are comprised of the above mentioned three heads. Different tricep exercises will place emphasis on different heads. Be sure to perform a multitude of exercises that allow the entirety of the muscle group to be targeted.