CGI - Computer Generated Imagery:
Anything that is 3D that you see on the screen and it is made using the computer. It does not include the live action shot.
VFX - Visual Effects:
It uses elements, it can be 2D or 3D and integrating live action shots that was filmed on set
SFX - Special Effects:
It comes from old times, when there was no computers and no 3D. So all of the explosions were mechanical. Any live effect has to be created on set instead of CGI. Now a days they can be created using computers and they are called Digital Effects (DX).