The NXT brick is the computer and powersupply for robots you build. You write the programs in NXT-G on your computer and then via a cable or wireless bluetooth, you transfer the program to the NXT brick. You then press RUN on the NXT brick, and your robot behaves as you have programmed it to. It can run about the room on it's own etc. The WeDo, from my understanding, is either using NXT-G or a similar software but there is no brick. You write your program, press RUN on the computer screen, and through a cable which is powering your contraption, the motors and sensors will do what you've programmed them to do. But since it has to be tethered to the computer to receive instructions and power, you can't make robot cars for example that will go around the room.
Here's the link for WeDo robotics
http://www.legoeducation.com/store/...y=20&ID=1573&c=0&t=0&l=0Here is the link for the software
http://www.legoeducation.com/store/...y=20&ID=1650&c=0&t=0&l=0 it sounds like NXT-G but I can't say how different it will be. Obviously, the sensor blocks will be different but I imagine navigation etc is very, very similar to NXT-G for MINDSTORMS.