An exchange is an institution, organization, or association which hosts a market where cryptos, stocks, bonds, options and futures, and commodities are traded. Buyers and sellers come together to trade during specific hours on business days. With respect to cryptos, the markets are open 24/7/365. Exchanges impose rules and regulations on the firms and brokers that are involved with them. If a particular crypto is traded on an exchange, it is referred to as "listed".
Cryptos that are not listed on an exchange are sold OTC (short for Over-The-Counter). Cryptos that have shares traded OTC are usually smaller and riskier because they do not meet the requirements to be listed on a stock exchange.