Pressed powder is a cake of face powder pressed into a mirrored compact with a puff or sponge. It usually has a matte finish on the skin, and is portable and convenient for touch-ups during the day if you have oily skin that needs blotting.
Loose powder has a consistency more like baby powder - soft, fine, and, well, loose.
Most brands are packaged in a tin, plastic box, or shaker container with a screen over the powder so you can shake out a little at a time through the small holes in the screen. Unless you have a container that stays tightly closed, loose powder is not very portable. There is a benefit of loose over pressed, though - loose powder is softer and more natural looking on the skin. You can apply it with a powder brush or a puff depending on the finish you want. Both pressed and loose powders typically come in a variety of skin tone shades from light beige to deep cocoa.