There is more than one way to think of Click Through Rates (CTR). I cannot comment about Alexa much, but I can comment about Google a bit more.
If you do a search on Google, and you click a link, that is a click-through. Google measures impressions, meaning how many links to your site are created for each query. They also measure how many queries where impressions to your site are made. Per query and for the amount of impressions for your site that the query generates, if someone clicks on a link to your site, then that is a click-through. Google uses the click through rate to measure the quality of the link they create and the popularity of your page. If you have an impression (link on Google) that performs well, then the metrics (click through rate and possibly others) can push your link higher in the search engine result page (SERP). The more click-through(s) you have, the higher in the SERP(s) your link can appear.
Now think in terms of toolbar(s). Assuming that you have a Google toolbar installed, then Google can follow you around from site to site. Toolbar(s) have the ability to parse the document object model and become aware of links and whether a click event has occurred on that object (link). In this way, a click through rate can be determined for a link on that page. It is not clear how much of this actually happens but it is possible.
Back to Alexa for a minute. Alexy relies on web bugs (as described in the GA paragraph above) for site analysis if you are a participant and it's toolbar. It is clear that Alexa relies upon the toolbar more than any other mechanism. That is because of it's early successes in this area. Google had more success in deploying it's web bug more than it's toolbar. Alexa can track your visits from page to page and other metrics such as searches etc. I am assuming that the Alexa toolbar does parse the document object model and can measure clicks on links from one page to another. I also assume that Google can too. This is actually trivial to do. What is unclear is that while this is possible, do either get into the weeds of the document object model enough to actually care about click events from page to page? I am not sure.
Back to my first point to finish. Click through rate is applied how I specified, however, generally speaking from an SEO perspective, if refers to clicks on links from a search where your link has appeared. Sometimes you may hear someone refer to click through rate in regard to using a log analyzer. It may also be Alexa or other performance analysis. Often, you just have to read between the lines to know in what regard the term is being used.
Clear as mud?