when you install something from the android market via your pc, how does it get to the phone?

Wirelessly. The Android Market on your PC sends a 'message' to the Android Market on your phone, which then proceeds to download the file.

Oh ok, will try it out. This would mean that it would eat my data allowance when its been downloaded?

Yup, unless you're connected to Wi-Fi at the time.

Be also aware that the default setting on Wi-Fi is for it to "sleep" (ie. turn off) when the display is off. I don't know if Android Market wakes it back up again or whether it hits your allowance, but you can change that behaviour if it doesn't suit you.

That's actually pretty cool

Yes, it is cool. The Android Marketplace website is very slick and the app synchronisation happens within seconds.