The sacraments of initiation—Baptism, Confirmation, and Holy Communion—are the three primary sacraments, on which the rest of our life as a Christian depends. Originally tied very closely together, the three sacraments are now, in the Western Church, celebrated at different milestones in our spiritual lives. (In the Eastern Church, both Catholic and Orthodox, all three sacraments are still administered to infants at the same time.)
The Sacrament of Baptism:
The Sacrament of Baptism, the first of the sacraments of initiation, is our entrance into the Church. Through Baptism, we are cleansed of Original Sin and receive sanctifying grace, the life of God within our souls. That grace prepares us for the reception of the other sacraments and helps us to live our lives as Christians—in other words, to rise about the cardinal virtues, which can be practiced by anyone, to the theological virtues of faith, hope, and charity, which can only be practiced through the grace of God.
The Sacrament of Confirmation:
Traditionally, the Sacrament of Confirmation is the second of the sacraments of initiation, and the Eastern Church continues to confirm (or chrismate) infants immediately after Baptism. Even in the West, where Confirmation is routinely delayed until a person's teen years, several years after his First Communion, the Church has stressed the original order of the sacraments (most recently in Pope Benedict XVI's apostolic exhortation Sacramentum caritatis).
Confirmation is the perfection of Baptism, and it gives us the grace to live our life as a Christian boldly and without shame.
The Sacrament of Holy Communion:
The final sacrament of initiation is the Sacrament of Holy Communion, and it is the only one of the three that we can (and should) receive repeatedly—even daily, if possible. In Holy Communion, we consume the Body and Blood of Christ, which unites us more closely to Him and helps us to grow in grace by living a more Christian life.
In the East, Holy Communion is administered to infants, immediately after Baptism and Confirmation. In the West, Holy Communion is delayed until the child reaches the age of reason (around seven years old).