Unlike Google which counts links etc. Alexa will count your traffic. If you go to Alexa it will say traffic rank, and give you information about average page views per visitor and your overall traffic ranking.
Alexa ranking is based on a number of traffic tools to get the ranking. It works out a percentage of what it thinks your traffic is based on users who have the toolbar installed. To get a better alexa ranking you need to place a traffic widget on your site, the reason for this is simple. It will track all visitors to your site not just ones with the toolbar installed. Also alexa rankings are based on statistics over a time period. The longer your site has been established in general the better ranking you get, however if you get more traffic from toolbar users your site will be higher than more established sites.
I Agree above here is an example of the widget see the side bar on the lower left side of www.sleekbusiness.com