I pulled this from the web... this explains it pretty well.
Nitrous Oxide Dry Injection Kits-
Nitrous oxide dry injection kits spray nitrous oxide into the intake manifold and it is mixed with fuel and air at the injectors. Dry shots of nitrous oxide usually provide less of a power increase because there is no way of providing additional fuel to balance the extra oxygen in the combustion mixture. So you have to be a little conservative as too lean of an air-fuel mixture will cause the engine to just blow up. At least with stock factory injectors anyway.
Nitrous Oxide Wet Injection Kits-
The other type of nitrous oxide injection is wet nitrous oxide injection. Wet nitrous oxide shots have fuel in them. This explains the usage of the word wet. The nitrous oxide is mixed together with fuel and a fogger injects this mixture directly into the throttle body. This provides the extra fuel to balance out the extra oxygen provided by the nitrous oxide, thus keeping the air-fuel mixture stoichiometric or not too lean. However wet nitrous injection kits might cause puddles of fuel to be stuck in the intake manifold, and cause severe backfire conditions.