Delegates are handled specially by the CLR, basically. The compiler provides the signatures, but the CLR knows what to do with them.
Section 8.9.3 of ECMA-335 partition I talks about this:
Delegates are the object-oriented equivalent of function pointers. Unlike function pointers, delegates are
object-oriented, type-safe, and secure. Delegates are created by defining a class that derives from the base type
System.Delegate (see Partition IV). Each delegate type shall provide a method named Invoke with appropriate
parameters, and each instance of a delegate forwards calls to its Invoke method to one or more compatible
static or instance methods on particular objects. The objects and methods to which it delegates are chosen when
the delegate instance is created.
In addition to an instance constructor and an Invoke method, delegates can optionally have two additional
methods: BeginInvoke and EndInvoke. These are used for asynchronous calls.
While, for the most part, delegates appear to be simply another kind of user-defined class, they are tightly
controlled. The implementations of the methods are provided by the VES, not user code. The only additional
members that can be defined on delegate types are static or instance methods.
(VES is the Virtual Execution System; the CLR is Microsoft's implementation of the VES.)