You pay the broker a fee and they do all the shopping to find you the best deal. You then have to approve the deal. I'm not sure if they compared with internet prices, but I do know they saved a few thousand dollars over the best price they could find on their own when they've used the service in the past.
Before I go with a broker I'll see what the best deal I can get is, and if they can beat it with the fee included then I'll go that route. The other nice thing is that they shop the trade in for you to see who will give you the best price for it (since the dealer you get your new car from doesn't have to be the same as the one you trade in to), and they find the best financing for you. As NYGal said, you basically just tell them what you want, and they do all the hard work. They're especially good at finding "hard to find" models / trim levels / options.