.Net supports two kinds of delegates: Open delegates and closed delegates.

When you create a delegate that points to an instance method, the instance that you created it from is stored in the delegate’s Target property.  This property is passed as the first parameter to the method that the delegate points to.  For instance methods, this is the implicit this parameter; for static methods, it's the method's first parameter.  These are called closed delegates, because they close over the first parameter and bring it into the delegate instance.

It is also possible to create open delegates which do not pass a first parameter.  Open delegates do not use the Target property; instead, all of the target method’s parameters are passed from the delegate’s formal parameter list, including the first parameter.  Therefore, an open delegate pointing to a given method must have one parameter more than a closed delegate pointing to the same method.  Open delegates are usually used to point to static methods.  When you make a delegate pointing to a static method, you (generally) don't want the delegate to hold a first parameter for the method. 

In addition to these two normal cases, it is also possible (in .Net 2.0 and later) to create open delegates for instance methods and to create closed delegates for static methods.  With one exception, C# doesn’t have any syntactical support for these unusual delegates, so they can only be created by calling the CreateDelegate method.

Open delegates by calling the CreateDelegate overload that doesn’t take a target parameter.  Before .Net 2.0, this function could only be called with a static method.   In .Net 2.0, you can call this function with an instance method to create an open delegate.  Such a delegate will call use its first parameter as this instead of its Target field. 

As a concrete example, consider the String.ToUpperInvariant() method.  Ordinarily, this method takes no parameters, and operates on the string it’s called on.  An open delegate pointing to this instance method would take a single string parameter, and call the method on that parameter.

For example:

Func<string> closed = new Func<string>("a".ToUpperInvariant);
Func<string, string> open = (Func<string, string>)
    Delegate.CreateDelegate(
        typeof(Func<string, string>),
        typeof(string).GetMethod("ToUpperInvariant")
    );

closed();     //Returns "A"
open("abc");  //Returns "ABC"

Closed delegates are created by calling the CreateDelegate overload that takes a target parameter.  In .Net 2.0, this can be called with a static method and an instance of that method’s first argument type to create a closed delegate that calls the method with the given target as its first parameter.  Closed delegates curry the first parameter from the target method.  For example:

Func<object, bool> deepThought = (Func<object, bool>)
    Delegate.CreateDelegate(
        typeof(Func<object, bool>),
        2,
        typeof(object).GetMethod("Equals", BindingFlags.Static | BindingFlags.Public)
    );

This code curries the static Object.Equals method to create a delegate that calls Equals with 2 and the delegate’s single parameter).  It’s equivalent to x => Object.Equals(2, x).  Note that since the method is (generally) not a member of the target object’s type, we need to pass an actual MethodInfo instance; a name alone isn’t good enough.

Note that you cannot create a closed delegate from a static method whose first parameter is a value type, because, unlike all instance methods, static delegates that take value types receive their parameters by value, not as a reference.   For more details, see here and here.

C# 3 added limited syntactical support for creating closed delegates.  You can create a delegate from an extension method as if it were an instance method on the type it extends.  For example:

var allNumbers = Enumerable.Range(1, Int32.MaxValue);
Func<int, IEnumerable<int>> countTo = allNumbers.Take;

This code creates an IEnumerable<int> containing all positive integers, then creates a closed delegate that curries this sequence into the static Enumerable.Take<T>(IEnumerable<T>) method.

Except for extension methods, open instance delegates and closed static delegates are rarely used in actual code.  However, it is important to understand how ordinary open and closed delegates work, and where the target object ends up for instance delegates.