Alexa gives many sites on the internet a ranking. For example, yahoo is number 1 and shortly after is google, msn, and this site being #3 billion. Go to alexa.com and type your website URL to see what it has recorder.
Simply with their alexa toolbar. In other words, if you download their toolbar and visit your site everyday, you'll usually be ranked in the 200,000s. Get a few friends together to use the toolbar and you'll be in the 50,000s or even lower.
The alexa toolbar is only efficient in measuring massive sites. Webmaster forums and similar sites will have an extremely disproportioned alexa rank because webmasters are more likely to download the toolbar. The alexa toolbar is useless. Get the google toolbar. Pagerank is a better indicator of traffic than anything else.