The plugin basically downloads three images of different resolutions from the main server and embeds it in the site at various places. You can set the image size from admin panel and also embed the daily comics into the sidebar as a widget…
for more info and downloading the plugin visit http://wordpress.org/extend/plugins/comics-gone-bad/ :)
How long does it take for daily comics to feed to website?
A day at max. It should be up within 24 hours.