Methylation refers to the addition of a methyl group to the steroid molecule. This changes the structure, and often significantly the activity, of the steroid. Prohormones are not methylated, and companies using this term misunderstand what they are selling.
Esters, and ethers, attach to the steroid molecule and typically increase its fat soloubility. They are used to slow the release of steroid from the site of injection, or increase lymphatic absorption when given orally. Both esterified and etherified steroids lose their added groups, yielding the original steroid, before exerting any activity in the body.
And methylation at both the 17 and 7 positions typically increases the biological potency of the steroid. 7 methylated compounds are often very interesting in fact, however none are commercially available at this time.