You pay the individual or the FFL holder, whoever is selling the weapon on gunbroker....obviously, there are individual sellers and FFL holders who are sellers there. Then (s)he, in turn, ships the weapon to an FFL holder of your choice, in your area...whichever local FFL holder that you request that (s)he send it to...where you can take delivery of it.
If the seller is an FFL holder, then (s)he simply sends it himself/herself to your local FFL holder of choice, and if the seller is not an FFL holder, then (s)he must work with an FFL holder local to him/her to do the shipping for him/her (but, that really doesn't affect you...that's on them to do).
The weapon is shipped by the seller, if an FFL holder, or if the seller is not, it is shipped from his/her local FFL designee, to the local FFL holder you choose, and you go there, do the paperwork, pay the transfer fee that the FFL holder near you charges (probably $25-$30 bucks or so, more or less), and pick up the weapon. You already paid the actual seller for the weapon. It's easy.
Basically, just remember that the weapon must be shipped from one FFL holder to another, so the seller and the buyer must "contract" with a FFL holder local to them, unless they are FFL holders themselves. These "contracted" FFL holders essentially just transfer/ship the weapon, do the transaction, run the paperwork, etc. They are not truly parties to the actual sale, per se, and the only money that changes hands between you when you pick up your weapon and the FFL holder who received it for you would be the fee he/she charges to accept the transfer of the weapon for you.
Obviously, if the seller contracts with an FFL holder to send the firearm, then the seller would pay him/her the shipping fee, too, in addition to the transfer fee, but again, that's not on the buyer.