The difference between to two is that for wet sanding, as the name implies, you use a piece of sandpaper that has been soaked in water and either sand under a stream of running water or in a container of water - dunking the part every so often to wash off any debris. The advantage of wet sanding is that it basically 'lubricates' the surface so that the sandpaper doesn't gum up so quickly and cause unnecessary scratches from debris that has gotten stuck in the sandpaper. It also helps if you add a drop or two of dish soap to the water to add a little extra 'slide'. The disadvantage to wet sanding is that you have to stop every so often to dry off the part to properly check your progress, but the results are definitely worth it.
Ray