Answered[ Edited ]
The rule is usually powder for oily skin and liquid/cream for dry skin, altho nowadays a lot of powder have goodies added in. Even then, most people use a setting spray to get the glowing or natural look instead of the powdery look.
In short, you should use a setting spray. My favorite is actually Vitamin E facial mist from Body Shop. I dislike the baby powder pink and the smell is ok, but it is definitely moisturzing as well as make up setting. I have dry combo skin and this saved me on the 14hr plane ride to China. It might feel a bit sticky on the face, but velvety smooth once it dries.
For dry skin, I'd go with a setting spray. I like the Urban Decay one, it's not sticky nor drying, just kind of feels like water but works like a dream. I usually spray 3-4 times on my face then with a brush (that I only use for this) I dab around my face to get the product to go all over and to help dry a little quicker. Hope that helps!