I'm looking to build a PC for the first time, i've scouted a few motherboards and they say "Supports DDR2 800" which is fine, when it says that however does it mean it only supports DDR2 800 or 533 667 and 800 but no more? Thanks
It will probably support all three speeds you mentioned but its worth double checking before you buy slower ram. Which motherboard are you looking at? Either get the specs from the manufacturer or download the manual. The manual will tell you exactly what ram you can use.
When they say support, it typically means it will be able to make use of that speed. It can use something like DDR2-1066, but won't make use of that extra speed ceiling without overclocking. The DDR2-800 is the highest speedgrade officially supported by the chipset, and the companies are just pointing that out for marketing purposes.
