Curse! Lose a Level has an immediate effect: you lose a level. Discard the curse card once you have lost the level.

Curse! Tiny Hands has a continuing effect: you cannot use two-handed items until you can remove the curse. You keep it in play to note that the effect persists.

Curse! Change Sex is a hybrid. It has the immediate effect of changing your sex, and the continuing effect of a -5 until the next time you resolve a combat. (Which could include your current combat, another ruling that isn't clear on the card but which has been clarified here and elsewhere since.) You keep the card until the -5 penalty is no longer in force, then discard it.