"Lady" is another word for "woman".

The word "lady" sometimes sounds more respectful than "woman". You can use it to talk about someone who you don't know:

I met a lady on the bus who said that she was a physical therapist.

It's not very polite to use the word "lady" to directly address someone. It can actually sound rude:

Get out of my way, lady!

"Miss" or "ma'am" are more polite:

Excuse me, miss. I think you dropped something.

But it's OK to call a group of women "Ladies":

Right this way, ladies. Follow me.