Most components in the system are directly connected to their power source, like Hard drives, and Optical drives with their power connector. On a modern system a CPU gets all its power from the 4/8 pin connector near it, that goes to its voltage regulation circuitry(all the capacitors, ICs and chokes around the CPU). The 24 pin motherboard connector feeds a variety of things, it feeds 75W to any PCI-E connector, some power for the ram, and power for the chipset and any other onboard components, the power is send through traces on the motherboard, if you find one that you can see the traces on the power ones tend to be much fatter than the signal traces making them easier to find and follow.
As for how the PSU knows when to turn on, the green wire on the 24 pin main connector is held up to +5V by the power supply when the system is off, it has a very low current rating and really only serves as a signal wire, when the system is turned on the motherboard shorts this wire to ground dropping the voltage of this wire inside the power supply indicating it needs to power up all the systems.
Thats simplified power distribution, if you want more complex Hardware Secrets has a couple of good articles about the VRMs near the CPU, the anatomy of a power supply, and a few other power related ones.