A man may not recite sacred words (devarim she-bikdusha) while there is no separation between his heart and his erva (nakedness). Thus, one wearing a long cloak or robe without underwear who wishes to recite sacred words must wear a belt to divide between his heart and his erva. However a woman’s nakedness is lower down, and her heart naturally cannot “see” her erva. Hence, a woman may recite sacred words while dressed in a robe, even without a separation between her heart and her erva.
Prior to the Amida, a man must put on a belt. Some poskim maintain that the reason for this is to create a division between one’s heart and one’s erva, in which case wearing underwear is sufficient and there is no need for a belt. Others say that specifically a belt must be worn in honor of the Amida, so as to more effectively emphasize the division between one’s heart and one’s erva (SA 91:2; Peninei Halakha: Prayer 5:3).
However, women, who are not required to create a division between their hearts and their erva, do not need to wear a belt when praying.