Blue thing is a check valve that allows air to go one way but stops air and water going back into the pump. Make sure it is the right way.
Black thing and grey thing are plastic taps used to control the amount of air going to each air operated item in the tank. You can have one tap on a filter and the other tap attached to a bit of airline that goes nowhere. You allow some air out of the airline that goes nowhere to control the air going into the filter.
The plastic T-piece is used to divide the airline from the air pump. It lets you run 2 items from one pump.
I wouldn't try to connect two sponge filters to one air pump, if that was your plan. As mentioned above, the main idea of the T piece is to direct air to two output locations instead of one. Usually, the air pump is not powerful enough to effectively run the sponge filter.
In my experience, most single outlet air pumps have enough power to run 2 air operated sponge filters, or a sponge filter and an air operated ornament. Many pumps can run more than 2 items, you just need more T-pieces and taps, or a gang valve.