A sense is a property of phrases, it is what you mean by a phrase (but not what you refer to or denote). The word "Hesperus" has a sense; the sense is a particular mode in which Venus is observed. Using this language we say that the sense of "Hesperus" is the brightest star in the early evening at certain times, while the denotation of "Hesperus" (what you refer to when you say "Hesperus") is the planet Venus. The sense is a mental object, the denotation is a physical object.
The sense of "Hesperus" is a concept. It is the concept of the brightest star in the early evening at certain times. We can use square brackets to semi-quote a phrase in order to indicate that we mean the concept, so
Sense("Hesperus") = [the brightest star in the early evening at certain times]
In other words, a sense is a concept, but the words "sense" and "concept" are used differently. Typically you talk about the sense of a word or phrase, but you talk about a concept independently of any words. Sense is about language, concept is post-language, you are not longer considering how the concept is expressed.
Another important word here is "extension" which is to "concept" roughly what "denotation" is to "sense". For example, the sense of "Hesperus" is the concept [the brightest star in the early evening at certain times], but the denotation of "Hesperus" is the planet Venus. The extension of the concept [the brightest star in the early evening at certain times] is also the planet Venus. The extension of a concept is the collection of things that fall under that concept.
So, the difference between sense and concept is largely a matter of how the words are used. By contrast, the difference between concept and universal is metaphysical; it has to do with what sorts of things exist.
Let's consider the concept [blue]. Anything blue falls under this concept; that is, the extension of the concept [blue] is the set of all blue things. The concept [blue] is accessible only to the mind. Although there may be something out there in the world that all blue things have in common, this is not assumed when we talk about the concept [blue]. We are just talking about things that have a certain sense impression on typical human vision.
By contrast, the universal, blueness, is something that exists out there in the world. It may or may not be physical, but the point is that blueness is something that blue objects have and non-blue objects don't have. It is part of the objective, mind-independent description of the universe. In fact, it is not only part of the description of the universe, but a causally significant part of the universe; for example, a rabbit has long ears and is able to hop specifically because it partakes of the universal, rabbitness. This is a metaphysical assumption made by the theory of universals, but but not made by concept theories.
There is also a debate over whether purely abstract objects exist (and concepts are purely abstract objects), but this is a different metaphysical debate. Universals are not purely abstract objects.