A primary source is an original work created during or around the event being studied. A primary source is not interpretive. It will not examine events as they happen (For example a primary source from the French Revolution might tell you about the events of the day that Marie Antoinette was killed, but it won't talk about the socio-economic impact of her death.)
Examples of Primary Sources:
Diaries
Letters
Speeches
Government Documents (such as a piece of legislation)
Newspaper Articles
Photographs
A secondary source interprets primary sources and the original historical event. It specifically examines events for some sort of (often scholarly) purpose. Secondary sources are usually created much later than the original event in question.
Examples of Secondary Sources:
Books
Documentaries
Journal Articles