The rights of the owner of a copyrighted work are typically formulated differently in different countries, but basically he has the right to make copies of the work and to offer the work to the public. When he distributes a copy, that specific copy may be redistributed by others without needing further permission. This is called the "first sale doctrine" in the USA, and "exhaustion" in most European countries. So, it is legal to resell a book, but not to make your own copy of the book and sell that.
The owner can grant other people some or all of the rights he holds on the work. This is called "licensing". A license can be very specific ("Newspaper X may publish photo Y in tomorrow's edition.") or very broad. By putting your work on the World-Wide Web, you implicitly give everyone in the world a license to download and view your work on their computer. However, this license does not cover things like putting the work on their own Website or printing it in a book. If you want to do this, you will need to ask the owner of the Website for permission first.
It is important to decide what other people may do with the content you put up on your Website. Can your icons and images be used on other sites as well? May others incorporate your video or audio streams on their pages? And what about those scripts and Java applets you created?
If you are a hobbyist, it may not matter much what other people do. You may even feel flattered because your work is apparently appreciated so much that others want to use it. But if you've invested a lot of time and effort in creating images or programs, it may seem as if others are stealing that effort without recompensating you. In that case, it is worthwhile to make your license more explicit. Simply create a Webpage where you explain what may and what may not be done with your work. This does not have to be three pages of legalese, a simple statement such as "All images on this site may be copied and used without restrictions, as long as appropriate credit is given." already suffices as a license.
For programs, there are many standard licenses available. The advantage of using such a license is that everyone knows what it means, and which rights they have for using the program. The most famous one is probably the GNU General Public License. The GNU also has a comparison of the most popular standard licenses, which may be useful in choosing which one you want to use.
The WDG offers all its material under the Open Publication License, which allows almost any kind of re-use and copying of our material. However, if someone makes a modification, they must indicate so, and no one may remove our names from our material.
More information on patents, copyright, trademarks and other Internet-related law is available on Iusmentis.com.