Hello Ronen,
These are firewall "concepts" which talk about the traffic flows themselves "New" would be a new traffic flow coming to your machine and if it should be accepted or not. "Established" is when an existing flow that was previously accepted continues to flow back and forth. "Related" is a concept where one Established traffic flow might request other NEW flows as part of it's required communications. This is common with more complicated protocols like FTP, H.323, SIP, etc. There are other concepts like ALLOW, REJECT, DENY, CHAINS, BLACKHOLE, etc and then other tool concepts like wrappers, tarpit, etc.
Different firewalls might use different terminology but they are all using the same concepts for their layer-2, layer3, and layer4-7 filtering. Check out some of these URLs to understand from a conceptual point of view but when it comes to implementing on your Mikrotik, you'll need to translate a bit for their specific terminology and syntax:
On Linux, we use IPTABLES for our L2 and L3 firewall - https://www.google.com/search?q=iptables+tutorial
FreeBSD uses "pf" - https://www.freebsd.org/doc/handbook/firewalls-pf.html
This is all detailed networking work and deserves some quality study on your part to keep your machine secure on the big, *bad* internet. All fun stuff if you're interested in networking technologies which is common for folks here on the AMPR list.
--David KI6ZHD