A component speaker set seperates the midrange speaker and the tweeter for better and more accurate sound imaging instead of throwing the two together in a 2 or 3 way combination. Ive had both in my car and its one of those deals where, if you really dont care and youre just glad to have sound then you can get the 2 ways. If youre a perfectionist and you want awesome imaging up front and perfect sound dispersion then you get the components.
The "box" they come with are the capacitors or the Crossovers. In the simplest way I can explain....They filter your sound....letting Highs go to the tweeters and the midrange going to the midbass speaker
Heres a good site to cruise through that will teach you alot of cool things about quality setups
www.mbquart.com