Before a US presidential election can take place, the Democratic and Republican parties need to choose a nominee. They do this by holding a series of smaller elections at the state level, which are called primaries and caucuses.
In these mini-elections, voters don't directly choose the presidential candidate they support. Rather, they are voting for delegates who will represent their choice at each party's national convention later in the year.
Most states hold primaries, whereby citizens go into voting booths to cast a ballot for their preferred candidate. Most of these primaries are 'closed' primaries, meaning you can't vote unless you are officially registered with the party. But some states allow semi-closed primaries, which allows independent voters to participate, although they can participate in the primary of only one party. And some states will allow open primaries, where anyone, regardless of their official political affiliation, is allowed to vote.
A caucus is very different from a primary. It's a public voting process, where people gather and physically stand with those who support the same delegate they do. At the end of the caucus, the number of people in each group are counted, and the delegate with the bigger group supporting him or her wins.
The more citizens who live in a state, the more delegates that state can send to the national convention. At the national convention, the candidate who wins more than half of the delegates' votes wins the presidential nomination for the party.
Primaries and caucuses aren't conducted all at once. They are spread out over a year. Traditionally, Iowa always holds the first caucus, and New Hampshire holds the first primary. However, many states will decide to hold their caucuses and primaries all on the same day. This day has come to be known as Super Tuesday.