The game will simply show up on their games list. For many of us, like me, that have alot of games (most of which are clans or tournaments) we don't even realize we were challenged while going through our awaiting games.
Many consider it a little rude to send an unannounced blind challenge. I automatically delete challenges that come out of no where. If you want to play someone, you should send them a PM and ask if they would like to play first. Then send over a challenge.