The transfer agent will sell some shares for you and mail you a cheque, but only for those companies that allow it, not all.
For the rest, the transfer agent will mail you a certificate for the whole shares and a cheque for the fractions.
Take the certificate to your broker and deposit it. Then you can sell on the market when you want.
A number of discount brokers will do so without any charge. I have used Royal Bank's Direct Action and all I did was take it to the bank and they sent it to Toronto headquarters via their own courier service.