The SP constructs a Shibboleth Authentication Request message. This includes, amongst other things, the identity of the SP and the URL of the resource the user wants to access.
This needs to be processed by the user's home organisation, which in Shibboleth is called an Identity Provider (IdP) ...
... but since the SP doesn't know (or really care) where this is, it sends this message, and the user, to a Where are you from service (WAYF).
It does this using an 'HTTP Redirect' – essentially telling the user's browser to retrieve a new URL. The Authentication request is encoded in this URL.