Windows Phone is the operating system for mobile devices developed by Microsoft. The current version number as of early 2015 is Windows Phone 8, with a point release (8.1), being delivered to some existing devices and all new devices.
An earlier version of the OS was Windows Phone 7. This is no longer supported and WP7 consumer devices (if you own one) cannot be upgraded to WP8.
Before Windows Phone was the popular enterprise system Windows Mobile, the last version of which was 6.5. This is also no longer supported or released on new consumer products.
Until late 2014 Nokia and Microsoft had a partnership. Nokia made new phones under the Lumia brand and only installed the Windows Phone operating system.
Microsoft eventually completely acquired Nokia's handset division and so from 2015 forwards, the 'Nokia' brand for smartphones is no more. The 'Lumia' name remains however.
This means that new devices will come from 'Microsoft Devices' and be named as 'Microsoft Lumia' smartphones. This started with the Microsoft Lumia 535 and continues.
Other manufacturers can license Windows Phone if they so wish, although few do, with many other manufacturers opting to use the free Android system and modifying it to their own ends.
For the official Microsoft website and how-to information and guides on the most recent Windows Phone devices, you can visit this link.
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