Remember how double integrals can be written as iterated integrals. Triple integrals are essentially the same thing as double integrals. (We just add a third dimension.) We will turn triple integrals into (triple) iterated integrals.
Just as with double integrals, the only trick is determining the limits on the iterated integrals. (Unfortunately, it's harder to draw in three dimensions.)
Before discussing how to set up the iterated integrals, we first address how to define triple integrals in the same way we define most of our integrals: with a Riemann sum.