Let\'s say i have a table named User. When I use the Entity Framework to get the records i do like this:
var db = new Context();
var users = db.Users;
Entity Framework will translate such a query into a "Store Expression." That is, it will generate a database query -- assuming your data storage is a database -- that will be somewhat similar to the query you included in your question. It very well may name the columns, however, and there are likely to be some other differences.
The Sql submitted to your database will contain your where clause. You can use SQL Server Profiler to watch as queries are submitted to your DB.
From here http://msdn.microsoft.com/en-us/library/cc853327.aspx
When you create an ObjectQuery or LINQ query, the query may not be executed immediately. Query execution is deferred until the results are needed, such as during a foreach (C#) or For Each (Visual Basic) enumeration or when it is assigned to fill a List collection. Query execution begins immediately when you call the Execute method on an ObjectQuery or when you call a LINQ method that returns a singleton query, such as First or Any. For more information, see Object Queries and Query Execution (LINQ to Entities).
So when your query has a WHERE clause it will just load the results filtered by the database with the where.