You may as well ask "please explain me how Windows works"...
However, there is a very rich source of information on how .NET works: SSCLI
(aka ROTOR). This is an implementation of the core bits of .NET for which
the source is available. See here:
This is written by Microsoft, so while it's not the same code as the .NET
Framework itself, there's a reasonably close relationship with the real
thing in many respects.
So that's probably the most detailed source of information on how .NET
works.
But I'm not sure that's what you really wanted. Could you be more specific
on what you're looking for?