Ok, a triglyceride molecule is composed of a glycerol molecule and 3 fatty acids.
A VERY minute amount of lipids can be transported in the blood this way as triglcerides are long, non-polar chains and the main component of blood is water.
SO, to be transported, lipids combine temporarily with proteins to form lipoproteins.
What happens is the hydrophilic (water soluble) protein section of the lipoprotein encases the hydrophobic (water insobule) lipid section. This means that the molecule becomes water soluble and can be transported in blood (YAY)
Now, where does the lipid go to? Well really it depends on the type of lipid.
Cholesterol (which is a most important part of different steriods in the body) is often sent to the liver and then usually reabsorbed in the intestines- for many different reasons, but this often can be in excess eg. leading to high blood cholesterol.
Triglycerides are sent to the liver also but usually stored in adipose tissue to be metabolised for energy in the future. (That's what your fat is guys- adipose tissue)
That have better bloody cleared up your question, I tell you what!