Azure Devops has its own words to describe all the concepts you were used to in Jenkins.
A pipeline defines the continuous integration and deployment process for an application. It's made up of one or more stages. It can be thought of as a workflow that defines how test, build, and deployment steps are run.
A stage is a logical groupement in the pipeline. It can be used to mark separation of concerns (e.g., Build, Database tests, Image build...). Each stage contains one or more jobs.
A stage contains one or more jobs. Each job runs on an agent. A job represents an execution boundary of a set of steps. All of the steps run together on the same agent. For example, the database tests stage will contain a separate job for each database type tests execution.
A step is the smallest building block of a pipeline. A step can either be a script or a task.
A script runs code as a step in your pipeline using command line, PowerShell, or Bash. A script is custom code that is specific to your pipeline.
A task is the building block for defining automation in a pipeline. A task is a packaged script or procedure that has been abstracted with a set of inputs.
A run represents one execution of a pipeline. It collects the logs associated with running the steps and the results of running tests. During a run, Azure Pipelines will first process the pipeline and then hand off the run to one or more agents. Each agent will run jobs.
When your build or deployment runs, the system begins one or more jobs. An agent is installable software that runs one job at a time.