A bit deeper explanation:
BlackBerry devices sends data through a carrier provided data network that is typically GPRS or EDGE. RIM's infrastructure keeps track of the device's data network location through the device's PIN. The RIM infrastructure provides a gateway between the carrier data network and the BES. If the device tries to contact an internet end point, the call (i.e. HTTP) originating from the device travels through the data network, into the RIM infrastructure, out to the BES and then from the BES out to the end point. The BES acts as a proxy for the BlackBerry device. Data coming back from the network end point goes back to the BES. The BES forwards the data back to your device. From a J2ME standpoint, you write the code as if you were talking directly to the external web service.
When you install the BES, the BES registers with the RIM infrastructure. That is how the RIM infrastructure communicates with your BES. I believe the BES must maintain a persistent connection with the RIM infrastructure to get around any corporate firewall issues. The BES communicates with your corporate mail server. When a new message is received, the BES pulls the message from the mail server and sends it to the RIM infrastructure. The RIM infrastructure then locates your device via the PIN and forwards (pushes) the message to the device.
Hope this helps (and is not TMI