When a transaction gets broadcast, that transaction gets relayed to most every peer node.  If your client was not running at the time, it might not know of the transaction because it wasn't online when the broadcast happened.   Eventually the transaction will likely get included in a block and then your node will see it.  Or the original client that sent it can re-broadcast it.  If the sender was using the bitcoin-Qt/bitcoind client then that will notice the transaction is not yet in a block and eventually will re-broadcast it (generally within about a half hour).

So if it is showing on blockchain.info then just hang tight.   Leave your client running so it won't miss a re-broadcast if you want the warm-fuzzy from seeing the 0/unconfirmed transaction in your list of transactions.