Basically, powder for a magnum cartridge is slower burning, thus more difficult to ignite. Magnum primers are supposed to be hotter to help ensure reliable ignition of such powder.
I would also strongly recommend buying a reloading manual or three, and adhering to published data.
The 357 Magnum is a very versatile round. You can load anything from light target loads to large game hunting loads.
I would recommend using the magnum primers with powders such as 2400 and H110, and regular primers for light loads using powders like Unique, Bullseye, and the like.
The 357 magnum is simply a lengthened 38 Special cartridge. Folks were hotrodding the 38 in guns like the 38-44 N frame Smith and Wessons. While these loads worked in that big, strong revolver, it proved too much for many lesser guns. The new 357 was too long for the 38s chamber, and helped prevent these hot loads being fired in weaker revolvers.
The main difference in loading for this and the 9mm is crimping. An auto cartridge headspaces on the mouth of the cartridge, so you basically just remove the bell from the case mouth. Most 38 sp bullets will have a crimp groove. This cartridge headspaces on the rim, so you can roll crimp the case mouth into the crimping groove. Other than that, it’s the same…size/deprime, bell, prime, powder, bullet, crimp.