Simple explanation of one way this can be done:
Internet data is sent in chunks, called packets.
The packets all go through the same "doorway" at work - the link between your office and the internet.
If you drop a monitor, called a packet sniffer, on that doorway, it can look at every packet that goes through and see what's in it. The packet will tell the packet sniffer what computer sent the packet, and where it's sending it. (or if it's an incoming packet it'll tell the packet sniffer where it's from and what computer it's heading for).
So if you visit a page here on TFP, the packet sniffer can see that.
As far as the idea of "I've never been caught yet, so it's nothing to worry about. . . "
Well that depends. The packet sniffer itself has no way of determining whether what you're doing is work or play. It takes a human to do that. So not having been caught yet only means no one's seen the report on you. Yet. There are a lot of people in a typical office, so it takes awhile to get around to snooping on everyone. Saying that is just like saying "I've never been caught speeding yet, therefore there are no cops, so I can speed all I want." Doesn't work that way
