Okay, so the blood contains all the proteins, RBCs, platlets, glucose etc.

Becau
se of starling forces, when blood flows through capillaries, the blood plasma li
terally leaks out of the capillaries and into your tissues. This is the 'interst
itial space'. No RBCs leak through the capillaries, although WBCs do! When this
fluid exits your capillaries it's in the 'interstitial space' and is called 'int
erstitial fluid'. Note that interstitial fluid is the same thing as 'lymph', alt
hough technically this fluid isn't really 'lymph' until it enters the lymphatic
system. This is just an issue of nomenclature. When the blood plasma leaks out o
f your circulatory system it comes in contact with all the cells of your body. T
his is why you hear that cells are 'bathed' in lymph.
Now, the lymphatic system is a system of vessels much like our blood vessels exc
ept that it is not 'circulatory' in nature. Remember that the blood vessels are
continuous. If you traced a line through a blood vessel you could travel round a
nd round the circulatory system ad infinitum. It's never ending, self-contained
loop. The lymphatic system doesn't work like that though. It's composed of 'term
inal' vessels. If you traced a lymph vessel from beginning to end you'd eventual
ly exit the lymphatic system out into the interstitial space (or into the circul
atory system depending which way you're going).
When there is enough fluid in the 'interstitial' space, the lymphatic system wil
l pick up this fluid and return it to the circulation. I believe that the lympha
tic system converges around the level of your neck and then literally feeds back
into the circulatory vessels.
Remember that there is no 'pump' for the lymphatic system (like the heart). It f
unctions via a series of one-way valves. So that means that as your muscles cont
ract or you move around, you're squeezing the lymph vessels in your body and cau
sing the lymph to progress toward your neck. This is why when you have been sitt
ing down for a long time and not moving your feet, your feet might get a little
swollen. The swelling is the fluid that leaked from your capillaries into the in
terstitial space of your feet. When you start wiggling your toes and moving your
feet around, you'll eventually push that fluid into your lymphatic system throu
gh those one way ducts and up toward your neck.