They are integers just as any other integer variable you can create. Warcraft 3 just provides them for the GUI interface.
When you loop you do a group of actions for every value assigned to the loop. If you loop from 1 to 10 using Integer A, you're doing a loop using IntegerA as 1, 2, 3, 4, 5, 6, 7, 8, 9 and 10. Wc3 handles the loops untill you reach a limit.
When you declare "From 1 to 10" Wc3 handles 1 as the "MinimumA" and "10" as "MaximumA" and stipulates that the loop will end when A, wich starts at MinimumA, reaches MaximumA, increasing it's value by 1 on every loop instance.