You download and install it.
Then you give it a URL, and it streams down a map, and downloads DLLs containing behavior custom to that map. While you're in a map, you can walk through a portal to another map. Or you can just keep moving in a direction, which streams more and more map.
If you're in a multi-player environment, you connect to a server for that environment. If you're in a solo area, you're just running locally.
Isn't this what the Oasis (from "Ready Player One") is supposed to be like? What stops them from doing this?