Hi there!
Neon (Ne) -- Atom. This is one, singular atom of neon. It is not connected to anything else.
Carbon Dioxide (CO₂) -- Compound. This is a molecule containing at least two different elements (Carbon and Oxygen)
Water (H₂O) -- Compound. See reason above. There are two different types of atoms in this molecule.
Hydrogen gas (H₂) -- Molecule. The reason that this is different, is because the whole structure is one type of element (Hydrogen).
As for the element option. The word "element" is used to define an atom with properties relating to another one. A Silicon atom, will react just like another Silicon atom.
Hope this helps!
Brady