The Alexa toolbar is the biggest most bloated piece of spyware out there... and one of the things it does is keep track of where people who use it are going. Thus, the ranking, based only on how many people visit a site who have the toolbar.
It is easily manipulated and when buying a site it isn't helpful in determining real traffic. Although it might be helpful after the sale in determining how honest or dishonest the person is that you bought the site from.
The lower the ranking, the more popular the site. I have one site that's in the 10,000's but all the rest are somwhere above 100,000 ... which doesn't mean the sites don't get very decent traffic, just that the people visiting aren't using alexa.
Vivvy