Terry...they use like a small firework (Motor) unuseable again once fired...you can get different size rockets and motors with different firing lengths.
Usualy the small rockets go the furtherest...my little one went up to 1600 feet where my bigger one went only 400 feet....you can even get multiple stage rockets that keep firing diffent motors as you go up...they normaly work in 2 stages....the main motor fires then once it runs out it fires a secondry out of the top that blows your little parachute out of the nose cone so your rocket can land safely...this was a while ago when I had them so things may have advanced but they were a lot of fun.
Play the 3 second MPEG to see one launch...below
http://www.ranum.com/fun/bsu/rocketry/