How does this work? I make eth transaction and they claim to immediately transfer me their coins. Are they using my eth address?
You're buying their tokens for your Ether. It's a purchase.
Also, when their coins become public, how can I sell them?
You need to wait for an exchange to make a market in their coin so that you can trade their coin for any other crypto currency. An exchange may never support their coin OR many exchanges may support their coin. The future is always unclear and risky when it comes to ICOs.
What you need to do when you make a decision to get involved in an ICO is (1) consider the business model and utility the token plans to employe with the market of people that are not interested in crypto currency as an investment and, (2) be ready to hold the coin/token for a long time.
How does the ICO solve a real business or social problem? If it doesn't, run away from the token as fast as possible.
There are no silly questions, only silly answers!