Put simply - a Gyrocopter is like a helicopter except that the engine is not connected to the rotors - they freewheel (or autorotate).  A Gyrocopter has a propeller (like an aeroplane) and the forward motion of the gyrocopter through the air as a result of the propellor turning, forces wind through the rotors in turn making them autorotate.

The best description on the web of a Gyrocopter is available at http://en.wikipedia.org/wiki/Autogyro