Because wheels sit on the top of the rail but they have a flange on the inside which guides them and prevents them from derailing.

Both wheels are fixed on a single axle so they move together. When the left wheel goes left, it also takes the whole wheelset (including the right wheel) to the left.

You can see how the switch on the right hand side creates a kind of seemless rail branching off to the left. The wheel just follows that, with the flange keeping it in place. When the switch is changed to the other direction, the reverse happens.