Wet sanding is done after you paint the car; it is meant to keep the surface clean and acts as a lubricant -- so, for example, after you get your paint on the car you wet sand it down with some very fine grit sand paper; this keeps all the dust particles out of the way so you don't end up making a big scracth etc. by sanding over the dust particles... it also helps speed up the sanding process.
Maybe some of these places will help ya out if you have any other questions:
http://www.sturgisboatworks.com/News...ng_is_norm.htm
http://www.diyfixit.co.uk/nflash/pai...anding/wet.htm
http://www.type2.com/library/body/saprep.htm