Ok, obviously you are a subscriber since you can see/pick them up.
These orbs, you use at Stonehenge. There are 2 areas in the Stonehenge: The Wilds and Wake Hallow, and inside these areas, there are caves, and to enter those caves you have to put an essence set (5 essences of the same color than the flame of the torch outside the cave)
You enter the cave, and search for a portal inside the cave, right? You enter the portal for another area, where you will face a boss. There are 5 areas in total, logically making it 5 caves (each with its own color/essences required, and logically there are only 5 types/colors of essences).
Each boss will drop it's head. So you'll have 5 heads of each boss in the end right? That's a headset. With a headset, you can enter Moloch's Step. Moloch is the hardest boss in the game, and he's the only one who can drop Dye kits (they are like amulets or something, I don't have one of my own
), along with a very good drop rate of uniques/legendaries.
I hope it's somewhat easy to understand.
Essences = Keys
Essence Stack = Keyset
Head = Organ
Head set = organ set
It's pretty much what happens in D2, only more numerous and a whole lot more fun hunting the organs.
Stonehenge is also the best area to lvl. You can enter it at lvl 15, and then lvl at the Wake Hallow and it's caverns/bosses. Don't even think about going into The Wilds tho. You'll get SLAMMD, as they so say in D2 1337 5p34k.