It will send you to a site that represents what you put in. You won't get a set of search results. You'll get an exact place. Try typing in "Ewmew Fudd" and hit I'm Feeling Lucky. Just trust me :)
It basically takes you to the first site in the search. So, maybe if you typed in myspace, and you pressed "I'm feeling lucky", it would take you to the myspace home page.