Yeah, your bearing cone has unscrewed itself, and you have a cup-and-cone bearing. The reason I asked for pictures is that I've seen a number of BMX hubs with cartridge bearings that also have a spacer on the axle that gets referred to as the "cone" by the BMXers who bring their bikes to my co-op, and I wasn't sure if you had one of those, or how widespread calling that nut a cone was.

You'll need a cone spanner the right size for your cone to hold the cone in adjustment while you tighten the locknut onto it. Just google "adjusting bicycle wheel bearings" or something.