It's more like an auction house.
Lets say I have a dragon longsword that I don't want anymore. I go to the grand exchange and make a sell offer. I put up the dragon longsword and specify that I want 25 billion gp. Then, sometime later, someone wants to buy a dragon longsword. So they go to the grand exchange and make a buy offer. They specify that they want a dragon longsword and are willing to pay up to 25 billion gp. Then the computer makes the transaction. It delivers the dragon longsword to them, and the gp to you. When you search for an item to buy or offer an item to sell it will show you the average prices it goes for when you put it up, which is very useful. When I bought my stuff I just made buy offers for the average maximum price, and two seconds later the deal was done, and with change. There's a guide dude there at the exchange who will explain things too.
And it's north of the varrock west bank, by the way.
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