A Content Management System (CMS) is a general purpose system that allows registered authors to upload and manage all sorts of content - text articles, images, videos, audio files etc.
The CMS will also allow the site administrators to define exactly how each page looks - it's layout, the placement of navigation, advertisements etc. The administrators will also control who is allowed access to the system. The authors in this case will be people within the organisation rather than the public who visit the site.
A newspaper web site is a very good example of a CMS.
A blogging engine can be seen as a type of CMS that has been tailored to make it easy to create short(ish) articles with optional comments. There'll typically be only one author per blog, though that's not always the case.
There'll be (usually) very little control over the layout. Having said that some blogging engines will allow more control than others and can be indistinguishable from Content Management Systems.
A Forum is a place where users can post articles etc. and other users post responses to them. So again it can be seen as a specialist type of CMS.