How does it work?
Costco will ask you what make you want, they'll pass you along to a dealer they have a contract with. The person there will likely be in the dealership's Fleet/Internet department. You tell him/her what car and options and they'll give you a no-negotiation price.
The dealership still has the ability to work additional things in their favor if they provide the financing and if you add additional options.
It can be a pretty stress-free process if you don't want to do the legwork of really working for a deal. You'll pay less than the average guy who walks in and buys on a whim, but maybe more than someone who is aggressive with the buying process. How big those gaps are depends on what car, popularity, incentives, and stock levels.