A character is a person, or sometimes even an animal, who takes part in the action of a short story or other literary work.
see The Green Door by O. Henry
The setting of a short story is the time and place in which it happens. Authors often use descriptions of landscape, scenery, buildings, seasons or weather to provide a strong sense of setting.
see The Last Leaf by O. Henry
A plot is a series of events and character actions that relate to the central conflict.
see The Open Boat by Stephen Crane
The conflict is a struggle between two people or things in a short story. The main character is usually on one side of the central conflict.
On the other side, the main character may struggle against another important character, against the forces of nature, against society, or even against something inside himself or herself (feelings, emotions, illness).
see To Build a Fire by Jack London
The theme is the central idea or belief in a short story.