AO3 Definition

Privacy - The quality or condition of being secluded from the presence or view of others.
Example - If you are a professional footballer and you have just played a match on live on TV then that is fine because there is a contract between TV station and footballing governing body. But in that same day, you were to come home and relax with your family, then you see someone from the paparazzi in your window taking pictures of you and your family then that is wrong. 
Confidentiality - Done or communicated in confidence.
Example - Your GP is not allowed to give out your medical details to any member of the public including your own family including your wife, mother, father etc. The GP cant even tell his wife if something bad happened at work etc.
Anonymity -The quality or state of being unknown or unacknowledged.
Example - For example, if you were to do a questionnaire and you wrote your own views in which most people wouldn't agree with it and think it is wrong, then you would want that to be kept anonymous so people doesn't know it was you. There will be a small print at the bottom of the questionnaire saying it will remain anonymous.
It is important that research is confidential because people have lots of different views about things that may be right or wrong. Some people may want those things to be kept confidential so people dont find out what they said and get angry about it.
Statement
The information you give in this questionairre will remain confidential, your information will remain with us and will go no further. You will also remain anonymous meaining your name will be unknown to anyone but us.  
http://www.scribd.com/AdamFerris94/d/78007729-Task-3a-Data-Protection-Act