Certainly, and it's actually a very complex question.
The key way that it works is that instead of actually taking your game and basically printing it onto plastic discs that you then give to retailers, so that you are basically putting them into a box and selling them, the game is instead distributed by some kind of centralized platform. In the case of a video game console, it's because Xbox has a platform called Xbox LIVE that you can use to download games. PlayStation has the PlayStation Network for the same thing. For mobile devices, it would be something like the App World for RIM, the App Store for Apple, or there's also a wide variety of open platforms that are available on the web. You can download games or play games online through the web.