SD6 has it spot on, Dyoel is close.
What Dyoel is reffering to is called Direct Port Injection, this involves running the nitrous and fuel mixed directly into the intake manifold.
Dry is what he said.
Wet is when you have both a fuel injector and a nitrous jet in the intake tube.
The only downside to wet is that you have a chance of the fuel predetonating in your intake manifold...Doesn't happen much, but I've heard of it happening.