Your old posts should change. I don't think people's links do. I'm not sure if it will automatically redirect.
Usually, upon clicking an "outdated", or "ugly", link from another blog, when the user loads your site, WP will do the work automatically and refresh the URL to the "new", "pretty", one.
However, if this becomes an issue, I believe I've seen some plugins on the WP site that will facilitate such a thing for you automatically. Though, of course, I didn't think to bookmark any of them. A quick Google search for WP plugins relating to "pretty" permalinks should turn up something useful, though.
Basically, it just means that old links that still point to posts using the ?=# format will still work, and redirect automatically to the new URL for the page/post, one way or another, so folks don't have to go back and comb archives to fix broken links, regardless of where the link comes from (either on your blog, or someone else's).