For 1.5 users, the absolute beginning of a post Loop is here--consider it the green light for posts:
<?php if (have_posts()) : while (have_posts()) : the_post(); ?>
The logic of this line works like this: "Do we have posts to do something with? Well if we do, for each post..." This could be considered The Loop Proper, in that this is where a post's components are displayed. A comment counter would definitely go in here.
The Loop continues on with a Yield sign put in so WordPress can stop and think:
<?php endwhile; else : ?>
This is asking "If we haven't any posts based on what was queried, what then should we do?" Typically an error message would go here.
Then, finally, the Stop sign for The Loop:
<?php endif; ?>