The dominant follicle is the one that is largest in size and most likely to release an egg. It is not fertilized yet because ovulation has not yet occured -- the follicular stage is between the first day of your period and ovulation. AFTER ovulation occurs and sperm meets egg then you have a fertilized egg, which becomes a zygote, then a morula, then a blastocyst. If the blastocyst successfully implants in the uterine wall, it becomes an embryo. The embryonic stage lasts until the 9th week of pregnancy.
The follicle that released the egg continues to serve an important role, btw. After it releases the egg it becomes the corpus luteum, which pumps out progesterone in hopes that the egg will be fertilized and the conception will be viable. Once an embryo has implanted the placenta starts to grow, and it also produces progesterone needed to support the pregnancy. The corpus luteum makes progesterone as a stop-gap until there's a placenta to take over. If no pregnancy occurs and no placenta starts forming, progesterone levels drop, and that's what cues the body to shed endometrial lining (aka, your period) and start all over again.