It's quite easy to get started. All you have to do is visit the alexa.com site and download (and install) the Alexa toolbar. This toolbar offers a search function but it mainly displays the rank (at a global level) of the visited site, as well as the sites that have been visited by Web surfers that are linked in some way to the site being visited.
The Alexa toolbar not only displays information, but it also sends data to the central server. Thus, each time you visit a Web page via a Web browser (be it Internet Explorer or Firefox) that has the toolbar installed, information is sent to the server indicating your IP and the page you are visiting. Such data is gathered from all the Web users who have the Alexa toolbar.
With Alexa, the smaller the numerical ranking, the better. Most people say that if you manage to make it in the top 100,000, it is a sign that your site enjoys quite heavy traffic.
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