Mailings aren't sent immediately
The normal way to do this is to automate the execution of the scheduled jobs by setting up a cron command.

You can define how often that cron command is executed. If you set it every 5 or 10 minutes, then the Mailing will be sent at maximum 5-10 min after your submit.

The reason why Mailings are not send immediately is that CiviCRM is build to send very large Mailings. An action that is started via the browser has usually a maximum execution time. It is not unlikely that for larger Mailings it takes longer to send to all of them then that time. The cron command is run on the server and has no limitations in that regard.

Much more information about cron and how to set it up: http://wiki.civicrm.org/confluence/display/CRMDOC/Managing+Scheduled+Jobs