A closed loop is formed by an even number of cells, which contains the same candidate (=possible solution). All the cells which are a part of this loop contain 2 candidates. I will explain this to you more clearly by using some examples:
A Simple Example :
To find a closed loop you start with selecting a candidate. In this example I have chosen the number (3).
Continue by looking for two cells which contain two numbers and have the number(3) in common. Those two cells should also have a strong link. This means that it is absolutely certain that one of the two cells will have the candidate as their final solution. Cell B3 and cell B8 both contain the number(3) and because there are no other cells in column B containing this number, one of the two cells will have the number(3) as the solution. Thus the link between those two cells is a strong link.
A second strong link is formed by the cells F3 and F8.
Finally if the cells of the strong loops can "see" each other, then they can be connected. Cell B3 and cell F3 can "see" each other and form a weak link, because another number(3) is present on the same line as those two cells. B8-F8 also form a weak link.
The closed loop is formed by the cells B3-F3-F8-B8. Notice also that a closed loop consists of strong-weak-strong-weak links.
In the final solution of the puzzle all the red cells or all the green cells will be number(3). It is not possible that number(3) will be the solution for the red cells and the green cells at the same time. In the yellow area no other cells can contain the number(3). If there are any cells containing the number(3), then this number can be eliminated from that cell.