First... "dry" means very little sugar in the wine. "Sweet", of course, is the opposite, although if you're not a wine drinker, you'll wonder what they're talking about... they aren't exactly "sweet" in the commonly accepted sense. "Dessert" wines, like an "ice wine", can be almost syrupy sweet... not what you want for cooking!
A dry sherry is one of the most common wines called for in recipes. In general, follow what the recipe calls for...
Basic rule of thumb has been that red wines go with beef and red meat, while white wines are better with chicken and fish. (this is for drinking)... same rules, unless the recipe calls for something different, should work as well.
Do not bother with "cooking wine" from the grocery store, unless you're desperate... they contain added salt, and are generally just poor quality all the way around.
Also... if you go to a decent liquor store where they know their product, ask them! Most will be more than happy to tell you about the differences, and will accomodate your price point, as well. If you aren't planning on cooking with wine often, you might want to look into one of the little vacuum sealer corks that are sold, because wine goes stale FAST, and oxygen makes it "turn" really quick. Of course, you can always cook with what you need from the bottle, and drink the rest with dinner!
Summerthyme