When performing calculations in Mathematica, requests are sent to and processed by a calculation engine known as the Mathematica kernel. If accessed directly, the kernel provides only a simple input/output terminal interface. However, the kernel is typically linked to a front end program that provides a more advanced user interface. The standard kernel front end is the Mathematica notebook front end. This is the front end that ships with the Mathematica product.
When Mathematica Link for Excel is used from Excel, Microsoft Excel becomes an alternative front end to Mathematica. The communication between Excel and the Mathematica kernel is made via MathLink, the same protocol used by the notebook front end.
When the link is used from Mathematica, a combination of MathLink and COM provide connectivity with Microsoft Excel. This two-part link is internally managed by an installable MathLink binary, ExcelLink.exe. When a Mathematica function requiring Excel is called, ExcelLink.exe receives the request from the Mathematica kernel via MathLink, then processes the request in Excel via Excel's COM libraries. The COM connection is made on an "as needed" basis. This allows you to continue working in Excel, even while connected from Mathematica.