A turbo trainer uses a clamp to secure your wheel, so you can pedal away indoors to your hearts content. The locking mechanism is usually a pair of screw clamps with lock nuts or a quick release. Most turbos come with an additional skewer so you can avoid damaging the one that you ride with.
The frame holds you and your bike in place and keeps everything stable and planted. It’s nearly always made of steel, though some have aluminium legs to keep the weight down. Some turbo trainers have fold-out legs or a fold- out wheel stand.
Any turbo trainer will provide a stable base for you to ride on, but more expensive units will either make riding feel more lifelike, be quieter, or provide you with data about your training - if not all three. Here's a look at what you get at each level:
Most entry trainers are magnetic turbo trainers and work using magnets to create a force for you to pedal against and usually have set resistance levels, which you can adjust as well as using your gears. These are functional units and you get more gadgets as you move up the price ladder.