Define an alphabet $\Sigma$, a word over $\Sigma$ and a language over $\Sigma$.

What is a regular expression $R$ and how does this give rise to a language $\mathcal{L}(R) ?$

Given any alphabet $\Sigma$, show that there exist languages $L$ over $\Sigma$ which are not equal to $\mathcal{L}(R)$ for any regular expression $R$. [You are not required to exhibit a specific $L$.]