The big difference is in the way of access to use it. In the case of the desktop application, you have to access the computer where it installed, and the web page and the web application it is obtained from a browser.
A desktop application is a program that is installed or executed on your computer (OpenOffice, Excel, Photoshop, etc.) even if it works with data through the web (Thunderbird, Outlook).
A web page is a document that can access through a browser. The information on the web pages usually is static (it can only be read, not interact with it).
A web application is a particular web page with information about which you can interact and even change.
The difference with desktop applications is that it is not installed or run on your computer, but through a browser. Examples of web applications are Gmail, Hotmail, Google Docs.
A web page is a web application, although, in a colloquial language, we usually make the difference depending on whether they provide functionality or are informative.
If you want, see more information on our website about web pages or web applications.