Three cards (or "cookies") are shown -- a queen of hearts (or "lady") and two indifferent cards (or "clunkers" -- generally, a two of something and a seven of whatever) are shown (or "flashed") and placed (or "dropped") face down on a table (or "table"). The magician (or "tosser") throws the cards around ("tosses his cookies") until they are all mixed up ("a mess"). At some point during the proceedings, all the spectator's money vanishes.
The trick here is really more one of mathematics than legerdemain. The object of three card monte is ostensibly to find the queen after the cards have been shuffled, and money is bet on whether or not the spectator will be able to accomplish this task. Most people think that the odds of them picking the right card are 2 to 1, but in fact the odds are 1 in 3, with the advantage being to the cookie tosser.
To make things more difficult, the tosser's "table" often has a little slit in it, and the queen can be shoved into the slit during the tossing so that she vanishes into the table. During the confusion and heat of the moment, the spectator will not notice that there's one less card, but the odds of the correct card being chosen are significantly lessened.