Document Setup is where you change the page size and the bleed and slug of your document. It applies to your whole document regardless of which pages you have selected. It can be accessed in the menus by selecting File -> Document Setup.
Margins and Columns is where you change the margins and the number of columns in your document. It only applies to the page(s) you have selected on the pages palette. It can be accessed in the menus by selecting Layout -> Margins and Columns.
The New Document window combines the Document Setup and the Margins and Columns windows.