Good question! Here's a brief description of each stage.
Setup: Everything to set up Q2A in general, e.g. initialization, connecting to database, registering plugin modules.
Control: Retrieving info from database, processing user input.
View: Preparing the content to be displayed by the theme layer.
Theme: Time spent in the theme layer outputting HTML.
Note also that the CPU time also includes PHP compile time, and this is triggered whenever a new PHP file is included in any stage.