For instance, if your are searching for "advertisement" on google, you'll get a page full of results. There are chance there are some adsense ads on the right of the screen.
If you click on one of those, you'll be sent to this kind of URL :
http://www.google.fr/aclk?sa=L&ai=CWzYOA3KqSuPQNNyCjAfnt7nAB5qgz3TirKPGCvuHvwUQASgGUICvvK74_____wFg-_n8gogKyAEBqQJ2wgEs73y4PqoEGU_QsVcyrl6nb4Fls441utUMubReuYu0w28&num=1&sig=AGiWqtyX9X-g8pHmhQa16vwqm68RRVhHRg&q=http://www.abileo.com/expertises/introduction%3F_kk%3Dmarketing%26_kt%3D941c87b0-0c5d-4ce2-bbc4-bfae7705523f
So, you are going to a page on Google's server -- that page will most likely count that you clicked on the ad.
Then, you are being redirected to the page on the website that was displayed in the ad.
Watching HTTP headers with something like the LiveHTTPHeaders for Firefox, you're getting :
First, request to google :
http://www.google.fr/aclk?sa=L&ai=CWzYOA3KqSuPQNNyCjAfnt7nAB5qgz3TirKPGCvuHvwUQASgGUICvvK74_____wFg-_n8gogKyAEBqQJ2wgEs73y4PqoEGU_QsVcyrl6nb4Fls441utUMubReuYu0w28&num=1&sig=AGiWqtyX9X-g8pHmhQa16vwqm68RRVhHRg&q=http://www.abileo.com/expertises/introduction%3F_kk%3Dmarketing%26_kt%3D941c87b0-0c5d-4ce2-bbc4-bfae7705523f
GET /aclk?sa=L&ai=CWzYOA3KqSuPQNNyCjAfnt7nAB5qgz3TirKPGCvuHvwUQASgGUICvvK74_____wFg-_n8gogKyAEBqQJ2wgEs73y4PqoEGU_QsVcyrl6nb4Fls441utUMubReuYu0w28&num=1&sig=AGiWqtyX9X-g8pHmhQa16vwqm68RRVhHRg&q=http://www.abileo.com/expertises/introduction%3F_kk%3Dmarketing%26_kt%3D941c87b0-0c5d-4ce2-bbc4-bfae7705523f HTTP/1.1
Host: www.google.fr
...
Referer: http://www.google.fr/search?hl=fr&q=advertisement&btnG=Rechercher&meta=
Cookie: ...
HTTP/1.x 302 Moved Temporarily
Cache-Control: private
Location: http://www.abileo.com/expertises/introduction?_kk=marketing&_kt=941c87b0-0c5d-4ce2-bbc4-bfae7705523f&gclid=CNX0xNT06ZwCFc0B4wodugHWiw
Content-Type: text/html; charset=UTF-8
Date: Fri, 11 Sep 2009 15:51:37 GMT
Server: AdClickServer
Content-Length: 0
So, you are doing the query to google, and you are getting a "go to that other URL" ; and, only then, the browser is going to the requested website.
Quoting your question :
do they send you to another page when
you click on an ad that will track a
click and then send you to the
destination
From what I've seen and explained, I'd say : "yes" :-)