The definition of dimension used here is that of a dimension of a manifold - essentially, how many coordinates (=real numbers) we need to describe the manifold (thought of as spacetime).
Manifolds may carry a notion of length, and one of volume. They may also be compact or non-compact, roughly1 corresponding to finite and infinite. E.g. a sphere of radius $R$ is compact and two-dimensional - every point on it can be described by two angles, and it's volume is finite as $\frac{4}{3}\pi r^2$. Ordinary Euclidean space $\mathbb{R}^3$ is non-compact and three-dimensional - every point in it is described by three real numbers (directed distance from an arbitrarily chosen origin), and you can't associate a finite volume to it.
Note that, on the sphere, you can keep increasing any one of the coordinates and, sooner or later, you will return to the point you started from. All dimensions here are "small"/compact. In Euclidean space, you never return to the origin, no matter how far you go. All dimensions are "big"/non-compact.
An infinitely long cylinder is now an example of where the two dimensions are different. Take as coordinates the obvious two - the length (how far "down"/"up" on the cylinder you are), and the angle (where on the circle that's at that length you are). The length dimension is non-compact - you never return to your starting point if you just keep increasing that coordinate. The angle coordinate is compact - you return after $2\pi$ to your starting point, and the "size" of the dimension is the radius of the circle. This is an example of a "curled up dimension". If you are far larger than the radius, you might not even notice you are on a cylinder, and instead think you are on a one-dimensional line!
1The mathematical definition is by covering properties which are not as easily translated into intuition.