I only have two settings. Which is which and how so?

I think you probably have a heat pump. Aux heat is electrical resistance heat coils that produce heat when the heat pump can not produce enough to keep the temperature up (caused by low outside temperature or a problem with the refrigerant system). This resistance heat can be switched on by the emerg. heat button. It also can come on automaticlly (sp) and will be indicated by the aux being shown on the thermostat. Sometime if you set the heat up several degrees by thermostat the aux will come on to help the system catch up to the desired temperature setting. The emerg. heat is a way to turn on the AUX manually. If you do not have a heat pump system then it is possible that you have a heat pump thermostat installed on a non heat pump system. Emergency heat and Aux are both the secondary.

Hope this makes sense1

Bob