In Awodey's Category Theory a category is defined as follows.
A category consists of the following data,
Objects: $A, B, C,\ldots$
Arrows: $f,g,h,\ldots$
For each arrow $f$ there are given objects, $$\operatorname{dom}(f),\ \ \operatorname{cod}(f)$$ called the domain and codomain of $f$. We write $f : A → B$ to indicate that $A = \operatorname{dom}(f)$ and $B = \operatorname{cod}(f)$.
Given arrows $f : A → B$ and $g : B → C$, that is, with $\operatorname{cod}(f) = \operatorname{dom}(g)$ there is given an arrow $g \circ f : A → C$ called the composite of $f$ and $g$.
For each object $A$, there is given an arrow $1_A : A → A$ called the identity arrow of A.
These data are equired to satisfy the following laws,
Associativity: $$h \circ (g \circ f)=(h \circ g) \circ f$$ for all $f : A → B, g : B → C, h : C → D$.
Unit: $f \circ 1_A = f = 1_B \circ f$ for all $f : A → B$.
My questions are,
What do we mean when we say that a category "consists of" something? Do the functions and objects "belong to" the category in some more general sense of $\in$ as in $\sf{ZFC}$?
Presumably, here Awodey talks of "collection of objects" and "collection of arrows" but what precisely is a collection here? Will it be sets? classes? or, something else?
What is(are) the difference(s) between data and laws?
As has been hinted in Q the Platypus's answer below, I think we may define a category to be a triple of obljects, arrows and composition. But then we need to know whether we are taking the notion of triple as a primitive notion. For if not, then naturally the question is, what is the definition of a triple?
This question is not really about category theory itself (though category theory is the first subject in which the issue you are running into cannot be easily swept under the rug). 1. and 2. could be equally well asked of set theory and basic algebra
Slightly more subtle is 3. but it can be asked in algebra
The answers to 1. and 2. is that you have to set up some theory that allows you to talk about collections. The standard theory do this with is first-order logic, in which every formula with free variables is a description of a collection (aka a class), and these collections may also be described by auxillary functions and relations.
Set theory is then a particular collection with an auxillary relation called "belonging" ($\in$) that satisfies certain axioms (e.g. ZFC). We call the objects that constitute this collection sets.
Peano arithmetic is another collection, called the natural numbers, equipped with a designated object $0$ and special function called "successor" subject to certain axioms. This is different (but related) to the natural numbers considered as a set, because any set determines a collection of its elements with properties mirroring the properties of the set.
Categories in general are (or rather, can be presented as) a pair of collections in the above sense (collections described by formulas with free variables in first-order logic) known as the collections of objects and collections of morphisms, equipped with auxillary functions and relations between them (identity, domain, codomain, partially-defined composition), satisfying certain axioms (identity, associativity).
Things get complicated because if you also have a fixed set theory (e.g. ZFC), then you can build categories as the collections of elements of pairs of sets equipped with set-functions and relations that satisfy the appropriate axioms. These would be so-called small categories. A fundamental category is then the category of sets because traditional mathematics is built on top of it, so you have to study the interactions of set theory (i.e. the category of sets) with all the other categories, paying attention to which ones are small and which ones are large.
A further complication is that there is no class of all class functions, for the same reason there is no set of all sets. But there is a class of all class functions whose domain is a set, i.e. a small class. So, because categories can be large, when constructing categories and generally thinking about them you have to pay attention to size issues, to whether they are small (given by classes of elements of some set or not).
People find this to be annoying to deal with by hand, so instead they enlarge ZFC with an "axiom of universes", which asserts there is a set all of whose elements form a collection satisfying the axioms of ZFC. Such sets are then called small, the others called large, and you can then go through category theory without having to learn about first-order logic and only using this extension of ZFC in a naive fashion. Doing this, you no longer have a category of ALL sets, but you work instead with the category of small sets.