ok, here's how it works:
the mucus plug is a gelatinous substance that basically "plugs up" your inner cervix, or os. This serves as a barrier against bacteria to help keep your baby safe. You can lose your mucus plug over a period of weeks, with just more gelatinous mucus when you wipe, or it can come out more "whole", looking like a big glob of snot. Your plug can also reform repeatedly.
When there is cervical change, small blood vessels (capillaries) break. The cervix is VERY vascular during pregnancy, so the opening of the cervix (or after sex) can create "bloody show". You can have bloody show without an apparent loss of the "plug".
Some women never notice a loss of a big plug. It's much more gradual for many women, as the cervix thins and shortens prior to labor.
Sometimes the plug - or the mucus lost gradually - can be pink, red or brown streaked. This is not really considered "show", but it does indicate some cervical change.
Most "show" that occurs happens when women wipe, meaning that oftentimes it's not really apparent on the underwear (it's not a huge amount of blood). Sometimes, though, this is not the case.
Hope that helps explain it a bit.