The actual message will be sent as a text from your phone, but this integration means you don't have to pick up your phone to send messages each time. You can type or speak "text" into Cortana and you can send a text to any contact as you would normally do from your phone. This works by using the same Microsoft Account on a PC and phone, allowing Cortana to sync data in the cloud and pass it between both devices.
Build 10572 of Windows 10 Mobile really starts to unify the mobile operating system and full fat Desktop Windows 10. Cortana will notify you about missed calls and messages with notification pop-ups and, even better, you can send replies by typing or saying "text [name]" in Cortana.
Type the message into the box and click send or say "send it" and the message will be sent to your phone, which will then sent it as an SMS.
Currently this does not extend to other messaging apps, such as WhatsApp, although Skype is now more deeply integrated into the Windows 10 and Mobile experience with messaging, mobile voice calls and video calls all working.
Cortana is now integrated with Uber, and you can ask it to book you a ride from your current location without having to use the app. Again, this can be done from the Windows 10 Desktop.