I just realize this...all highwaymen i encounter are Khajit, is it their official profession?
In a way, insofar as Khajiit have a natural tendancy to steal.
And some Redwardons (sorry, I dunno their correct English name.)
Redguards.
What is uesp? I guess I do not have that for I play on XBOX 360.
Beware the http://uesp.net/contains lots of spoilers and will tell you more than you wanted to know.
Literally, in English, what is the difference between highwaymen, bandit and robbers anyway?
Technically, they're all the same, but the term "highwayman" in Western lore has connotations of romance and adventure. Highwaymen are more like Robin Hood. They're rogues, but they are likely to be kind to the poor and weak.
I would say "robber" is a generic term, for anybody who steals. A bandit is more specific. Bandits can steal, but they can also terrorize, kidnap, kill. Bandits may more may not work in teams. I never knew what the word "highwayman" meant (and I've never looked it up), but it sounds like it's termed for bandits who specifically terrorize roads. Or, as glargg says, they're "rogues who are kind to the poor and weak", but steal from those who have.
In our world in English language:
A Thief is anyone who steals.
A Robber is any thief who steals openly by means of force.
A Highwayman is any robber who primarily works on the highway (roads). (The connotations of romance are true, as is the habit of asking for money before applying force.)
A Bandit is any robber who works as part of a band (gang/group).
A Burglar is any thief who steals secretly by means of stealth.
So, these are all types of thieves.
Robber and Burglar are exclusive of each other, as they use different methods (force vs stealth).
Highwaymen may or may not be also bandits (part of a band).