You can buy apps from the site using the credit card you've got tied to your Windows Live account. You then get sent a link to download them from your phone.
The real advantage, however, is being able to see all the available Windows Phone apps on a big screen, making it far easier to browse through them than it is on a phone's tiny screen.
Android already has something like this, and the App Store within iTunes lets you cruise apps too (although it requires cranking up that clunky piece of crud), so it's about time Windows Phone users got a similar capability.
The site is pretty easy to navigate, with featured apps and games curated into separate sections. In fact, curation is the key here -- most app stores are so packed to the gunwales with rubbish that having someone sort the wheat from the chaff can be invaluable.
Windows Phone is slick, but because it's not as popular as Apple's iOS platform, developers aren't so eager to make apps for it, sensing the really big piles of money lie buried in Apple's metaphorical mountain.
With Microsoft poised to unleash Mango, the new version of the Windows Phone operating system, we'll be interested to see whether little touches like this Web store can help Windows Phone make more of an impression than it has so far.
Are you in love with Windows Phone? What do you think of the new Web Marketplace? Is it cool or tool? Fierce or finished? Hot or not? Lame or insane(ly great)? Educate us in the comments section below, or on our Facebook wall.