"Sabah" is one of the state of Malaysia, "Kota Kinabalu" is the capital city of Sabah.
Their relationship could be exampling like: California & Los Angeles, Guangdong Province & Shenzhen ... etc.
If you come from overseas, the most probably your flight landing airport is Kota Kinabalu International Airport (KKIA). Only a small portion of flight come from South of Philippines or Kalimantan (Indonesia) will be landed in Sandakan Airport and Tawau Airport respectively.
There are a lot of township in Sabah. Besides Kota Kinabalu as you known, there are Sandakan, Tawau, Lahad Datu, Semporna, Kudat, Beaufort, Ranau ... etc with their unique and very own characteristic.