How does the uboot gets loaded for a particular embedded linux device? Is there a program inside the chip that searches for uboot inside the sd card or it is some another concept?
You just need to do a bit of Google-ing to find this out. Take a look at http://www.linuxjournal.com/content/handy-u-boot-trick for example. Yes, in short, the ROM knows how to read a FAT32 partition, typically, and loads and executes uboot.