Test cases live in the 'tests' subdirectory. All files in that directory will be included by default. Extend the WP_UnitTestCase class to ensure your test is run.
phpunit will initialize and install a (more or less) complete running copy of WordPress each time it is run. This makes it possible to run functional interface and module tests against a fully working database and codebase, as opposed to pure unit tests with mock objects and stubs. Pure unit tests may be used also, of course.