I don't understand the difference. Is C: or D: a volume and LUN a target like "disk 1" when I go to the disk manager? Except, that 'disk 1" is really an iSCSI target on a SAN?
Yes. A LUN is a logical volume from the point of view of the storage. From the client point of view the LUN it is a disc volume that can be partitioned.
Volume is a generic term. It means a contiguous storage area. This means that you might need to partition it and that you might also need to create a filesystem. Some programs can work directly with a volume without having a partition or a filesystem. So by volume you can consider a LUN, a partition or even a file (loop-back mounted volume, DB volume), depending on the context.
C: and D: is, usually, a mounted disk partition. This means that the kernel expose to the programs the volume as a filesystem.
Oh, and you can mount the same filesystem in 2 places at once at the same time. E.g having C: D:\mountpoint\ pointing to the same partition.