How it works
I'll try to make this explanation as non-technical as possible. First of all: why does it work? The short answer is: Adobe/Acrobat Reader can execute Javascript code in the later versions (the tracking is known to work with version 7 on all platforms and supposedly works with version 6 as well). Using PDF, you can fill out forms and send them to a web server. Combined, Javascript can send a form (in our case even an empty one) to a web server without user interaction. Additionally, Javascript has access to various information about the viewer and the document, such as current page number, zoom level, file location, etc., which can then be sent to the web server as well.
Basically, this is the “non”-technical explanation. If you are interested in the topic, you can read a more detailed and technical explanation (and try it out at the same time).
If you want to find out which information can be tracked and what the different bits mean, please have a look at “What can be tracked?”.