Just to add...
They're not simple powders either. They have a waxy, semi-sticky carrier, which means they stay on a bit better than straight powders. Start with small amounts and add more as needed - you will be surprised by the coverage you get from a small dab in the tray.
Several people have mentioned that the applicator sponge isn't very durable and wears out rather quickly. When this happens, don't be tempted to buy a hobby-store replacement. Go to your local supermarket and pick up a pack of make-up applicators instead (typically 10-20 for a couple of bucks). They are almost identical except the original has a brush on the other end.