This is what I know about Alexa.com:
Alexa may be owned by netscape, if netscape does not own Alexa they use Alexa results in search enquiries. Alexa has a related links option, if you have Alexa running while you are viewing a site, try related links. The links displayed are where other Alexa users have been that relate to the site you are viewing. What you are seeing is a interesting way of using unrelated(sometimes) form of link popularity.
Netscape I believe owns Dmoz.com, sometimes dmoz(netscape) must look outside their directory to satisfy search results, they will use Alexa for popularity(user links).
MSN will not display anything from from dmoz, their answer to dmoz is looksmart.
Go to Alexa.com download the software(free), visit your site and select related links and see who(and or what comes up). Now get anyone you know to do the same.
Brett, Ralph, jump in, if I created a myth point us in the right direction.
I am new(rookie) to this form a comunicating, I find it very hard to relate without having the use of my sences, if you find the above dry I am just getting used to doing this.