Depends on the adapter type.
For HTTP and SOAP the adapter listens for messages. The sending machine needs to decide which server to send it to and it has no idea which server is active. NLB addresses this problem, it picks one of the servers to receive each message. If one server goes down, the other/s will take over.
The FILE and FTP adapters pull data from a remove server. If you have two servers with the same host instance running an FTP adapter they will both connect to the remove server and attempt to download the same file – you need to fail over this host instance using a cluster
Although MSMQ is a listening rather than a polling adapter, it does not load balance – you can only have one queue so you cannot alternate messages between two servers – you need to fail over host instances using a cluster.