There is a group of words in English which it is convenient to call wh- words. The term is not universally accepted by grammarians, and is not very precise - but then, much of the advanced study of grammar makes very fine distinctions, which may not seem not very precise to the ordinary layperson. The study of grammar requires students to use their judgement.
In this situation, it is often convenient to use the term wh- word for a group of words most of which start with the two letters wh-. These can be used in different ways:
- Sometimes they are interrogative pronouns, and are used to ask questions such as "Which one do you want?"; "Why did you do that?"; :Whose is this?" and (an exception, because it does not begin with w-) "How did that happen?" For more on such questions, go to wh-question
- Sometimes the identical wh- words function as relative pronouns and connect clauses together, as in "That's the one which I lost", "that's the reason why I hate him", "That's the man whose hat blew off" and "Show me how to do it."
Unless you are engaged in a very careful study of grammar, or are working in a foreign language whose classifications are not the same as those in English, you will probably find it convenient to use the term wh-word more often than relative pronoun, interrogative pronoun, or interrogative adverb.
AWE contains a list of wh-words.