How do CDN (Content Delivery Networks) server work?

Solution 1:

Short answer: CDN's take your data and place it on many different servers around the world so that high traffic content can be delivered to the end user as quickly as possible.

Long answer: CDN's distribute your file(s) to multiple edge locations and assign a URI to it. When a request is made the CDN evaluates the location of the request and routes it to the edge location that will provide the lowest latency and best connection speed for the requester. The file is then transferred directly from the edge location's server to the user that requested it.

For more info: High Performance Web Sites: Rule 1 – Make Fewer HTTP Requests