Yep, they use them all in conjunction.

Kanji is a much larger alphabet (consisting of tens of thousands of characters, I think) wherein each character can represent a sound and a couple of different meanings. Apparantly, Japanese people know, on average, around 2000 kanji each.

Hiragana and Katakana are the more everyday alphabets, each one having about 45 characters (most of which can be slightly altered to make a different sound, for example the character "su" can can have what looks like a quotation mark attached to it to turn it into "zu".

These are all used together and you'll commonly find them all in the same sentence. It sounds intimidating, but it's perfectly possible to learn hiragana and katakana and a few essential kanji and then pick up more kanji as you go along. I just recommend getting a teacher who is Japanese, or has been living in Japan for a while at the very least.