They're all "airships", but that's it!
BLIMP- a pressure airship which has no solid framework. A blimp relies on lighter-than-air gas pressure for it to maintain its shape, and will collapse and lose its shape if there's a gas leak.
DIRIGIBLE- an airship with a steel frame with which its shape is maintained. The lighter-than-air gas merely provides lift.
ZEPPELIN- A specific brand of dirigible, just as a Xerox is a specific brand of copier.