It's been a while since I played on PC, and I'm just getting back into it on Xbox, so anyone feel free to correct me if I'm wrong here.
Gold: earned by completing quests and killing enemies. non-tradeable, and used to buy your basic mounts, consumables like potions, dungeon tools (thievery kits, etc), and basic crafting items such as rock salt.
Astral Diamonds: Get them by praying to your god at a campfire once an hour (starting at level 11), participating in challenges in the questing areas, and some other ways I don't really remember right now. This is the currency the auction house uses. You can also trade these for Zen, and vice versa.
Zen: You buy this with real money, or trade Astral Diamonds for it. It's only used in the Zen shop (I think).