What is the art show (in a convention setting)?
The art show set-up varies from convention to convention. Typically it is sort of a mini-museum with submitted art hung on existing or constructed walls. Artists that are at the show submit pieces to be included, and at most shows, they can also mail pieces in for inclusion. Sometimes it is just for show and not for sale, but most of the time, attendees can bid on the pieces or just purchase them outright. For the most part, art show areas are not manned by the actual artists.
If it's for sale, a bidding sheet will be hung beside the piece. Or you might get lucky and it will have the equivalent of a "Buy it Now" price. Either way, it can be an affordable way to get an original piece of art from your favorite artist. I've seen the bidding go by day or for the run of the entire show. If you're thinking about a piece, be sure to go back in thirty minutes or so before the end of the auction.
Just a heads-up, you'll probably be asked to leave your bag and especially cameras at a check-in desk too. There is a strict no photographs policy at every art show I've been through.
The convention staff collects the money from art show sales and sends it to the artist 4-8 weeks after the convention is over. An accounting sheet with names of purchasers may be included. For the most part, no commissions are taken out of sales. It's a good way for artists that don't have the time, etc to attend a big convention like San Diego Comic-Con, still be there and get some exposure.
Participating in the art show.
The best way to find how to participate in an art show is to visit the desired conventions' website. A link with rules and an entry form are usually right there. You will find that you can just submit art with entry fees to some shows and that others will perform a jury review of your artwork to see if it can be included (Dragon*Con is juried).
The most important thing seems to be that you name a person attending the convention an agent so they can pick up art for you at the end. Conventions will accept your art and hang it up, but it is rare that staff will mail them back to you. It would require too many resources to do so.