Loose powder is as it's name suggests. It's like the original form.
Pressed powder is loose powder that has been pressed into a pan/tin and put into a compact case.
Compact powder is often times a powdered foundation.
Loose powder usually comes in translucent/no colour but there are some with light tinting tho nowhere near as strong as compact powder foundations.
I've tried the ZA vitamin powder as an all over setter after my foundation. Works decently for the price and is non-comedogenic.
I'm in love with my Paul and Joe Loose Powder(RM180 for the big peach container, fluffly puff and refill - looks like something right out of an old hollywood movie ^^) Very well milled and does aid in smoothing out the complexion (I'm often lazy to put on foundation in the mornings so this goes right over my moisturiser or sunscreen). I have very oily skin and this seems to hold quite well in air-cond environments. Even with my one hour lunch break in the super hot sun of subang jaya. Only start to shine at about 5-ish.
MAC blotting powder is a good pressed powder for touchups during the day. Nice that it's virtually colourless.
Consider trying RMK's compact powder foundation? I don't own one but when I tried it as the shops it did make me look quite polished

I would have bought it if I didn't already have a ton of powder foundations I haven't used up yet. I'm more of a liquid kind of girl and my powdered foundations are usually for touchups and I keep forgetting to touchup all the time XD
If you have yellow undertones to your skin please don't go for Revlon or L'oreal. I had one too many pale-faced days thanks to those two brands and I would never wish it on anyone else.
Oh! you could try mineral foundation from LovingMinerals.com. Great service and it's KL based

The nice thing about mineral foundations is that a lot goes a long way and you get some decent coverage as well.