At the most basic level, they comprise millions of individual circuits along which electrons flow. Each circuit will either allow or disallow electrons to flow, depending upon how electrons flow in, these are called gates and there are several types - AND, OR, NOR, XOR, NAND, XNOR, and NOT.
Any set of instructions, no matter how complex, can be broken down into a list of basic instructions which map to one of these gates.
Because there are millions of these gates on a chip, millions of instructions can be processed at once.
The result of all the electrons flowing or not flowing through these gates will produce a n output, which may be a change in a display on-screen, an instruction for a printer or practically anything else.
Computers do not think per se, they do what they are instructed to do ' the search for AI will eventually produce a computer that will think but this is a way off yet.
That's probably really confusing so try this site'
http://www.howstuffworks.com/microprocessor.htm