There are three levels to a Facebook ad.   

1. Ad Campaign Level 

2. Ad Set Level 

3. Ad level  

At the ad campaign level, you'll choose the buying type, the advertising objective. The next level is ad sets. This level is where you can start testing your audiences. You can build lookalike ad sets, retargeting ad sets, email list ad sets. Each campaign can have several ad sets. Finally, the last level is the ad level. This is where you import the actual creative for ads. You can use multiple headlines, multiple captions, and even multiple images ad the ad level.