The Raspberry Pi 4 is a single-board computer with a full Linux operating system (similar to a traditional desktop PC) whereas the Raspberry Pi Pico is a different class of device designed to run physical computing projects.
The Pico isn't anything like a PC - it doesn't have an HDMI port to plug into a monitor or USB ports for a keyboard or mouse. You plug the Pico into a computer or a Raspberry Pi to program it for a specific project, then once programmed it will run that code every time it's powered up.
It's a lot closer to how an Arduino board works than a Raspberry Pi.
Be sure to check out the Raspberry Pi Pico Start Page for more info.