Cokin filters are made up of 4 sizes. The two most popular are the M (P) Series and L (Z-Pro} Series. The Z-pro being the larger and better quality of the two. Presumably "M" is for Medium and "L" for large.
Each of the sizes have their own kits and single filters. Each also have their own adapter rings that allow you to mount a "Holder" to the face of your lens. Into the Holder you can slide up to 3 filters.
To use the same filters in a holder on a different lens that has a different filter size (same as the lens cap size), all you need is the right sized adapter ring. All other items remain the same.
The most popular types of filters in each size is the GND - Graduated ND filters and the ND - Full (so not graduated) ND filters. There is also a range of polarising filters and colour filters.