Strictly, via electrons...:)

Well Suman,
as already discussed, the program you typed gets converted into the HEX file format (a type of EXE file for microcontrollers). This conversion is done by your Assembler (Linker in case of multiple files). Then, there is a Parallel IC Programmer (compatible to your IC, and available commercially in the market). It will pick each byte of the HEX file (you wish to burn) and passes it on to the chip (which would be in the Programming Mode at that time). It continuous that process until the entire program is burned intothe ROM. Then it finishes the PROGRAMMING part and exits the algorithm.
Mostly a Parallel cable will be connected between your PC and the Programmer. The programmer has a 40(or required)-pin Flexible IC Base where your IC sits and is internally connected by copper (wires etc etc etc)..

Got it? Still got a doubt???

-Harsha.