There is freehub and freewheel.
A freehub has the ratcheting mechanism(tick tick tick when you coast) built into the hub. The cogs and cog spacers(known all together as a cassette) have slots or grooves that match ridges on the hub and thus the cassette just slides onto the hub.
A freewheel is a part that has the ratcheting mechanism(same tick tick) in it and the cogs are slid, screwed, or some of both, depending on age and brandname, onto the freewheel part. This whole freewheel and cog combination is know simply as a freewheel. The whole freewheel and cog unit then screws onto a threaded hub, this is what threaded refers to.