It's complicated! :D I live in the Netherlands. The Kingdom of the Netherlands consists of FOUR independent countries: the Netherlands (in Europe) and Aruba, Curaçao and Saint-Martin (in the Caribbean). The Netherlands is divided in twelve provinces. Two of those are called North Holland and South Holland. Incidentally, Amsterdam is in North Holland, and Rotterdam and The Hague are in South Holland - so the most important cities of the country are actually in Holland, hence the confusion.
Holland The Netherlands Kingdom of the Netherlands
England Great Britain United Kingdom
In many languages, though, the United Kingdom is called England, and the Kingdom of the Netherlands is called Holland. Spanish: Olánda, Japanese: Oranda, Vietnamese: Hà Lan, etc. It's something we Dutch have learned to live with.
And as to why people from the Netherlands are called Dutch, while Germans call themselves Deutsch... That's a completely different story! :D