Images speak louder than words: http://www.draft-beer-made-easy.com/beershanks.html
To put a faucet on a keg fridge, you need three main parts:
1) Faucet, this is the "tap", you can get standard ones which are fairly cheap ($20 or so) or go for higher grade, such as perlicks, which are $40 or so, but use a different mechanism that prevents sticking if you don't use the tap.You can also get stout faucets, which are taller and provide creamier pours.
2) The shank, this goes through whatever medium you are using, collar, tower, coffin, etc... and is basically a large stainless steel part normally (or a similar material) which is threaded on the outside, and has a hole through the center for beer to run through.
3) The tailpiece, this is normally straight, but you can get 90 degree ones too, which connect to your beer line and allow you to push the beer to the shank.
The Faucet normally has a specialized collar on it, you shouldn't use a normal wrench, but get a specialized faucet wrench, otherwise you'll damage it.