The encryption key is tied to your account and unlocked when you enter your account's password. As far as I know — but I'm not a Windows expert — what “unlocking” means depends on the version of Windows and whether a TPM is available, but the idea is that the encryption key cannot be retrieved without guessing your password (and, with a TPM, cannot be retrieved on a different machine even with your password).
Access to encrypted files is transparent in the operating system. When you try to read from an encrypted file, it is decrypted on the fly (and conversely encrypted when you write) by the operating system, so that applications don't need to be aware that some files are encrypted.
When you copy the file to another computer, the content of the file is copied. It would be pointless to copy the ciphertext.
You could observe the encryption by setting the file's permissions so that another account can read it, and trying to access it through the other account. You could observe the encryption by mounting the disk on another machine, or booting another operating system (e.g. a live Linux system). In these cases, the key would not be available, so you would not be able to access the data.
The security property brought by encryption is that if someone gets hold of your computer (or more precisely to your computer's disk) while you are not logged in, they won't be able to access your data (assuming they fail to guess your password).