The difference is complexity. With workflows in SharePoint Designer you are typically bound to doing simple things like sending emails or creating a task for a person. It does not integrate well with IP 2007 if you have plans to do multiple forms that you want to incorporate into a single process. It is possible to create an activity library and then use that within the SharePoint designer.
You can do more complex workflows in Visual Studio but they are pretty difficult to do, there is little documentation available (the examples on MSDN do not work), etc. My company is pretty hooked into MS and we have some relative success with them but it will take some effort.
If you have complex workflows you want to use InfoPath and SharePoint integrating with other possible actors across your enterprise I would look at K2 but it can be expensive. It is the right choice.
Watch out, when you use SharePoint Designer, the workflows you write are NOT re-usable across sites and using the SharePoint designer with make your site customized (or ghosting in the 2003). This is bad and you want to avoid doing that.
The Failed to load the workflow is a fairly generic error - I would need more information to help.
Jason