Don't expect instant results from any of these advanced topics. Regex could be considered as a small scripting language itself.

COM

Full name: Component Object Model.
COM can be used to access functionality present in applications that expose a COM object.

You can read the COM article here.

Dialogs

Dialogs are used to offer users a GUI (Graphical User Interface.) Dialogs currently don't offer many controls but Khaled has said that more are planned. There are a few popular dlls that extend dialog functionality.

You can read the Dialog article here.

Regex

Full name: Regular Expressions.
Regex is used for advanced string matching, parsing or manipulation where 'normal' string handling won't quite cut it or would be terribly inefficient/ugly.

You can read the Regex article here.
You can read the String Handling article here.

Sockets

Sockets can be used to connect to any server that accepts connections or you can use them to listen for connections yourself, where the first use is known as a Client socket and the second a Server socket. Examples of applications that use sockets include web browsers (for connecting to websites), IRC clients (for connecting to IRC) and IM clients (for connecting to respective servers.)

You can read about client sockets here.
You can read about server sockets here.