In addition to waht Tina said, IVF has a higher success rate, but is very expensive. Some insurances pay for most of it but most do not. IUI only has a 15-20% success rate, the same rate you have when you try naturally each month. It is a lot cheaper. The medications can get expensive if you do not have insurance coverage. Most people do at least three cycles of IUI before they go on to do IVF. Good luck to you:)
IVF is In Vitro Fertilization. The woman's ovaries are stimulated to produce multiple follicles. The eggs are harvested and fertilized outside the body in a dish. Once they are grown into embryos, they are put back into the woman's uterus. This can be done with donor eggs &/or sperm, too.
IUI is Intrauterine Insemination. It is when the sperm is collected then cleaned to remove the less desirable ones. The sperm is then inserted into the uterus with a tiny tube when the timing is correct for ovulation. It can be done with stimulating meds or without. It is usually always monitored by u/s to determine when ovulation will occur so the timing is right.