Fresh means that the embryos are transferred to you 3 or 5 days after fertilization. If the embryos are frozen before they are transferred to you, it is a frozen cycle. In our case, for example, the donor's eggs were fertilized by DH's sprem and one of the resulting embies was trasnferred to me 5 days later, at the blast stage. The rest were frozen for future use. The first transfer was a fresh transfer and a future transfer would be a frozen cycle.
A frozen cycle may (I think) also refer to eggs that were frozen before being thawed, fertilized and transferred. Many clinics with in-house banks may work this way. The donor has donoated some time ago and the eggs are frozen for future use.
Frozen embryo transfers generally have a lower success rate because the embryos or eggs (as applicable) can be damaged during the the thawing process. At least with embryos, there are two freezing methods - slow-freeze (which results in more damage to the embryos because of little icicles that form and vitrification, a quick-freeze method that results in comparable success rates as do fresh cycles.
I hope this makes sense!