Okay, so the blood contains all the proteins, RBCs, platlets, glucose etc. Because of starling forces, when blood flows through capillaries, the blood plasma literally leaks out of the capillaries and into your tissues. This is the 'interstitial space'. No RBCs leak through the capillaries, although WBCs do! When this fluid exits your capillaries it's in the 'interstitial space' and is called 'interstitial fluid'. Note that interstitial fluid is the same thing as 'lymph', although technically this fluid isn't really 'lymph' until it enters the lymphatic system. This is just an issue of nomenclature. When the blood plasma leaks out of your circulatory system it comes in contact with all the cells of your body. This is why you hear that cells are 'bathed' in lymph.
Now, the lymphatic system is a system of vessels much like our blood vessels except that it is not 'circulatory' in nature. Remember that the blood vessels are continuous. If you traced a line through a blood vessel you could travel round and round the circulatory system ad infinitum. It's never ending, self-contained loop. The lymphatic system doesn't work like that though. It's composed of 'terminal' vessels. If you traced a lymph vessel from beginning to end you'd eventually exit the lymphatic system out into the interstitial space (or into the circulatory system depending which way you're going).
When there is enough fluid in the 'interstitial' space, the lymphatic system will pick up this fluid and return it to the circulation. I believe that the lymphatic system converges around the level of your neck and then literally feeds back into the circulatory vessels.
Remember that there is no 'pump' for the lymphatic system (like the heart). It functions via a series of one-way valves. So that means that as your muscles contract or you move around, you're squeezing the lymph vessels in your body and causing the lymph to progress toward your neck. This is why when you have been sitting down for a long time and not moving your feet, your feet might get a little swollen. The swelling is the fluid that leaked from your capillaries into the interstitial space of your feet. When you start wiggling your toes and moving your feet around, you'll eventually push that fluid into your lymphatic system through those one way ducts and up toward your neck.
Hope this helps.