On the Google and Yahoo search pages, the URLs of the 10 search result links actually point to google.com or yahoo.com. The URLs have extra arguments that allow google.com
Google has onMouseDown handlers on every link that change the link from the original source pointing towards Google redirect. So onmousedown replaces the link and when onClick appears (shortly after the onmousedown) the link is pointing already to somewhere else than the original direction.
Step 1. User clicks on a link (mouse button is down)
Step 2. onMouseDown event triggers
Step 3. link target (a href value) is altered
Step 4. Mouse button comes up
Step 5. onClick event triggers
Step 6. Browser sees that a link was clicked and forwards the user to the desired destination (set by an already altered href value)
Step 7. Browser opens a Google redirect page and this forwards the user to the original destination
Updated: Google used to track clicks on an onmousedown event only and didn't alter the link destination. When a mouse button was pressed on a link an image loading request was made towards google servers which counted the click (onmousedown => new Image("coogle.counter.server.com/link=www.pressed.com")) but I guess it was misused or it wasn't reliable enough that they decided to use the current link altering technique.