When you run above entity query on asp.net enabled web server (IIS),Entity framework will convert it into a transact sql query (T-SQL)and send back to the Sql server.After that the sql server runs the requested sql query and result will send back to the web server again.That is the scenario happening behind the seen.
If you would like to know more about the entity framework generated T-SQL code,you can use number of Tools.Such are LINQPad,SQL Server Profiler and Visual Studio Debugger etc.
If you need to know about those tools you can check below mentioned article which I have written.It's Title as "How to Convert Linq Entity Query into T-SQL ?":
http://sampathloku.blogspot.com/2012/08/how-to-convert-linq-entity-query-into-t.html[
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I hope this will help to you.