Pictured above are the etrog (in the box on left and out of the box in right photo) and the other 3 species (palm branch, myrtle and willow) not put together.
The lulav is comprised of the 3 species listed above, bound together. Many merchants will include a little “holder” made out of woven palm leaves. As you can see in the picture below, it has 2 pockets. The palm branch goes in the middle and the 3 myrtles go in the right side pocket and the two willows in the left pocket.
There is a blessing to be said each day of the holiday before the waving of the lulav and etrog. In English it is, “Blessed are You, O L-rd our G-d, King of the universe, Who has sanctified us by His commandments and commanded us to take up (wave) the lulav. There is an additional prayer on the first day, which says, “Blessed are You, O L-rd our G-d, King of the universe, for having kept us alive and sustained us, and enabled us to reach and enjoy this day.”
The waving of the lulav and etrog is in 6 directions–north, south, east, west, up and down. This symbolizes that G-d’s presence is everywhere.