Not entirely sure how it works up in the frozen north (frozen compared to us in Scotland anyway!), but the UK (or Great Britain) is the sovereign body most people would likely relate to and is represented internationally, and then each of the "countries" are individual states with their own laws within that.

To confuse matters, England is governed by the UK government, where Scotland Wales and Northern Ireland have their own local governments, whilst England does not. Some view this as unfair since anything decided at Westminster (which is the highest governing body of England) is impacted by those from parties outside of that country, so the SNP, Plaid Cymru and Sinn Fein get input into England, but England (not Westminster) doesn't get input into them (although they do because England is the largest of the four and heavily influences the Westminster government).

Edit: spelling and punctuation are hard on a train!

Oops, i was typing while watching her speech!

She holds the position of leader of the Scottish National Party, which makes her the first minister of the Scottish government, which is a devolved government from the UK government.

The devolved government's allow Scotland, Wales and Northern Ireland autonomy over certain areas of policy, whilst certain aspects are reserved for the UK government (such as defence).

She is (currently) scotland's leader, but the position of first minister is not quite equivalent to the UKs prime minister as it's for the governing of just Scotland whereas the prime minister is elected by the whole UK.