Most people think that papers are the only way that research gets published, but not all research actually shows up in the same form. Preprints, for one, are just as common, and is a paper a researcher posts publicly before (or during) the peer review process. A published paper has already gone through peer review and been formally accepted by a journal. Preprints exist because peer review can take months, sometimes over a year, and scientists often want to share new findings and get feedback from the wider research community much faster than that. Common preprint servers include bioRxiv (biology), medRxiv (medicine), and arXiv (physics, math, and computer science), and many major COVID-19 findings first became public through exactly this route, well before they went through formal peer review.
With anything, there is a tradeoff. Preprints haven't been vetted by outside experts yet, so results can occasionally turn out to be flawed, overstated, or later corrected, which is why they should be read with a bit more caution than a peer-reviewed paper. On the upside, preprints are almost always completely free to read, while many published journal articles sit behind an expensive paywall.
Understanding what a preprint is helpful if you’re trying to do one of the most common things in research: citations. If you use a preprint in your own literature review, it's important to explicitly note that it's a preprint, not yet peer-reviewed, so anyone reading your work knows exactly how much scrutiny that particular source has actually been through. Passing off a preprint as equivalent to an established, peer-reviewed finding is a mistake that can undercut an otherwise solid project.
Preprints do eventually get published in a peer-reviewed journal, often with changes based on reviewer feedback along the way. If you're closely following a specific research area, make sure to check back later to see whether a preprint you cited was eventually published (and what changed)!
Preprint servers are also useful tools for a student building a literature review. Because they're searchable and completely free, they're often the fastest way to see what a field is actively working on right now, well before those findings show up in a published journal months later. Most preprint platforms also let you set up alerts for new postings in a specific topic area, which is a low-effort way to stay current on a field you're interested in over the course of your project, rather than only checking in once at the very beginning.