Interval workout is when you push yourself into anerobic phase. Anerobic phase is when you are above your maximum aerobic range. This range varies from person to person, based on your level. In Interval Max (1 and 2), you'll have your aerobic phase (stepping), then a short anerobic phase and finally recovery phase where you lower your HR back to your aerobic phase. Cathe goes through 10 intervals in her both of her Interval Maxs. Because anerobic phase is very hard on your joints, you are supposed to put a rest day (no interval training, aerobic is OK) before doing another one.
Circuit training is doing 'different' exercises in short cycles within a session. This could be alternating aerobic and strength training in one session, i.e. Circuit Max. Actually alternating step, hi-lo and kickbox within 1 workout could also classify as circuit training. And alternating chest, back, biceps, triceps, shoulder and repeating the sequence can also be called circuit training!