it will make an exe that needs the .net framework to run. are you familiar with Java? while in the details (search research.microsoft.com) of the CLR are quite a bit different, at 30,000 feet, they are fairly similiar. Not sure what details you want really, .net programs aren't compiled to machine code, instead to Common Intermediate Language which the CLR handles. Take a look at this and see if it answers your questions.
http://research.microsoft.com/~emeijer/papers/CLR.pdf