Background: Let us consider N=2 global SUSY in d=4 with no central charges. Right, then as you probably know we have an SU(2)R symmetry between the supercharges Qα which are Weyl spinors and transform as a doublet. The on-shell spectrum consists of a hypermultiplet (two complex scalars ϕ,˜ϕ, and two Weyl fermions ψ,˜ψ) and a vector multiplet (one complex scalar φ, two Weyl spinors λ,˜λ and a vector Aμ). ϕ and ˜ϕ transform as an SU(2)R doublet. φ and Aμ transform in the adjoint of the gauge group and both are singlets of the SU(2)R.
Main point: Now, consider this theory at the IR. There are some interesting phenomena now. One important result for N=2 at the IR is that they have an absence of scalar field potential terms which means that as long as U(1) vector multiplets and/or neutral hypers occur in this region of the RG, N=2 theories have a moduli space (parameter space of vacua which we will see it has the form of a -not alway smooth- manifold). Furthermore, it has been found that there are no kinetic terms mixing fields of the hyper(s) and the vector multiplets. This means that the moduli space M of the theory can be written as Mhyper×Mvector. Now, Mhyper is the moduli sub-space along which the vevs of the hypermultiplet vary with the vector multiplet being fixed and accordingly for the Mvector. Now if Mvector is trivial then M=Mhyper and the moduli space of the theory is called Higgs branch (or we say that the thory is in the Higgs branch). When M=Mhyper then the moduli space is called Coulomb branch, which follows from the fact that there always are massless U(1) vectors from the vector multiplet(s).
Some comments: Now be careful, this is the picture classically. See [1] as a good introduction to moduli spaces in supersymmetry. Quantum mechanically things are a bit less trivial. It turns out that in N=2 SUSY gauge theories we have two important coupling functions the Kahler metric gij and the holomorphic coupling τIJ along with a cut-off scale Λ and various fimensionless parameters λi. The theories we are mostly looking are asymptotically free and we want to take the limit where Λ→0 where the strong dynamics take place. It is a long discussion but for now just believe that the Higgs branch metric is given by the classical theory. Therefore we conclude that only the Coulomb branch admits quantum corrections. Furthermore, a theory can have a mixed branch. The nice properties of the Higgs branch are retained even for theories with mixed branches when one goes quantum mechanical. Solving a N=2 theory amounts to finding the metric of its Coulomb branch (along with understanding the theory along the RG flow and its fixed points of course). A nice book on N=2 theories, with slightly more advance topics is [2] (of the PO user Yuji**).
[1] John Terning, Modern Supersymmetry; Dynamics and Duality
[2] Yuji Tachikawa, Supersymmetric Dynamics for Pedestrians
P.S. My impression is that we also talk about Higgs and Coulomb branch for N=1 theories where the first corresponds to the chiral supermultiplets and the latter to the vector ones.