'Working Set' is the amount of memory that the process currently has in physical RAM. In other words, accessing any pages in the 'Working Set' will not cause a page fault since the page is in RAM.
As for the other two, I'm not 100% sure, probably 'Working Set' contains sharable memory, such as memory mapped files, and 'Private Working Set' contains only pages that the process can use and are not shareable.
Have look at this site and search for the speaker 'Dave Solomon'. There is an excellent webcast that he gave which explains about Windows memory, and he mentions working set, commit sizes, and other memory terms.
EDIT:
Those site links are indeed dead :(
Instead, you can search Google for
vimeo david solomon windows
Those same videos look to be available on Vimeo now, which is cool.