Could someone explain how different folders in linux are connected?    There a lot of interesting stuff like /arch, /security, /samples, /crypto and etc.Where do this files go after compilation?For example I use Ubuntu. If there any chance to find them in /usr or /sys folders? 
Please explain linux kernel source code directories
linux;source
Most of it ends up in the kernel, vmlinuz-... typically in /boot, or in modules in /lib/modules, with one sub-directory per kernel version. Some of the tools in the tools directory end up elsewhere, e.g. perf. Most of the directories you mention are simply parts of the kernel, organised in various ways: architecture-specific code in arch, crypto code in crypto, etc. There's also build infrastructure which is only used during the build.