They don't compile a single executable as far as I know. They usually trick you to download a Java-applet which can determine which platform you use and then load the platform-specific part in the background.
But you can't use for example a binary for the Windows platform on Linux or Mac (disregarding any emulator/virtual machine in between).
See also Cross-platform - Wikipedia, the free encyclopedia (Subsection "Binary software")
Bye, Andreas