I am glad you asked for "an" example. This is because people define these terms in different ways. And not all dictionaries use these terms in the same manner. So, for "an example," please look at: http://www.oxforddictionaries.com/definition/learner/set The HEADWORD is "set". There is one ENTRY to the headword SET. The entry is everything in the long, white column on the left said of the webpage, from the top to the bottom. If one wanted to, one could call this the "headword entry." This dictionary gives three LEMMAs (or "lemmata" if one wants to use the Latin plural form) for the one HEADWORD "set." Each individual LEMMA is placed in a dark blue rectangle. They are SET verb, SET noun, and SET adjective. You can say that each lemma has its own entry, from the point of view of the lemma; or you can say that each lemma has its own sub-entry, from the point of view of the headword.

Laura, if I'm not mistaken, they all are the same. Example for the headword/lemma/entry "run": run rən/Submit verb 1. move at a speed faster than a walk, never having both or all the feet on the ground at the same time. "the dog ran across the road" synonyms: sprint, race, dart, rush, dash, hasten, hurry, scurry, scamper, bolt, fly, gallop, career, charge, shoot, hurtle, speed, zoom, go like lightning, go hell-bent for leather, go like the wind, go like a bat out of hell; More 2. move about in a hurried and hectic way. "I've spent the whole day running around after the kids"