A magnet link is a hyper-link that you can type into your browser & then it will link to the person with the file & start downlding via the default magnet handler program.

Try downloading a magnet link whilst neither program is open & you'll find out. lol http://www.magnetmix.com/index.shtml

You may be asked if you want one to be your default magnet handler next time you open it. Though didn't happen for me in OSX. FrostWire is my default magnet handler.

More about magnets & how to create them here How to use Bitzi Web Lookup ... & How to use Magnet Links & Direct Connect