Sheep is the animal. Lamb is the meat from a sheep served as food.
Just like pork the the meat from a pig served as food.
Most people consider beef as meat from a cow. While this is certainly the most common case, it need not be the only case. Beef is the meat of a bovine, especially cattle. Cow is just a colloquial term for cattle. A bovine is a biological subfamily that includes animals such as domestic cattle, bison, African buffalo, the water buffalo, the yak, and the four-horned and spiral-horned antelopes. So beef can be from a yak, for example.
Steak is often beef, but not necessarily. You can have a steak of tuna, a steak of pork, or a steak of lamb, etc. Steak is a cut of meat cut perpendicular to the muscle fiber.
Calf is a young (juvenile) domestic cattle. Veal is the meat of calves.
So now you know.