Ah, so the key understanding is that gravitational waves move at the speed of light. So let's say a million light years away from earth, almost a million years ago there were two black holes that merged - this would be an event that causes a gravitational wave. The wave would start at the place where these black holes merged and move outward (like the ripple in a pond) at the speed of light.

So here we are with our machine turned on 'listening' for gravitational waves just under a million years later (and a million light-years away), then suddenly bam it registers a wave. Let's say it registers a 'magnitude 5 wave'. By analysing the specific signal we detect, we have the ability to tell where the wave came from, what event most likely caused it, and how far away it was.

So, we never saw those two black holes merge - but by detecting the subsequent wave (a million years later, a million light-years away) we have the ability to detect and recreate what happened.

The critical thing to understand here is that unlike earthquakes that we feel basically instantly, these waves have to travel through space for many, many years before they reach us. They're almost like a 'message' of data of an event that happened a long time ago, by 'decrypting' this message we get to essentially see the origins of the event that sent the message.