Welcome to PF.
A "heat sink" can be a specific object that dissipates heat (a metal block with fins) or can be used as a general term describing anything that absorbs or dissipates heat. Technically, it is supposed to be a heat reservoir. Depending on the context, the colloquial usage may not be technically accurate. A heat exchanger is any device that exchanges heat between two mediums.
For example, in engineering a heat exchanger might be a shell that's filled with water with tubes of another stream of water in it. The water itself (that is receiving the heat) would technically be the heat sink.