If you are shooting in shutter priority mode on a dSLR then the exposure
compensation feature adjusts the lens aperture. If you set the exposure
compensation to 2 it will open up the lens by one f stop and if it is set to
4 then by two f stops. The larger the aperture the more light there is
passing through the lens and hitting the sensor, hence the over exposure
from the un-compensated meter reading.

This is one of those technical questions where the answer often depends on
what make / model of camera you are using.

In its simplist form, the answer to the question is in the question itself.
The "over-exposure setting" merely causes the camera to over-ride meter
evaluation and set the shutter / aperture / ISO trilogy of settings so that
the film plane / sensor will receive more light than is theoretically
necessary for proper exposure.

From my experience, it seems that most cameras use a progressive approach to
this issue.

First, if possible, the aperture is opened the required amount.

If the aperture is at full diameter, then the shutter speed is slowed down.
Finally, in some cases, but by no means all cases, if the shutter speed
reduction will result in too slow a shutter speed for the mode chosen, the
ISO speed is bumped up.

In some cameras, or in some modes, the first two steps may be reversed.

Obviously, in a simple answer one cannot possibly address all the factors,
nor anticipate all means programmers and hardware designers employ.  But, I
think that's the basics in a nutshell.

By the way, the next time you try shooting a concert, try setting your meter
to center weighted and / or spot metering and the exposure compensation to
slightly under-expose.

These two metering modes work well in concert situations, since you are
often shooting subjects that are spot lit, and which are much brighter than
the background.  Thus, as you noted, the evaluative metering method tends to
under-expose the overall picture.  By going to center-weighted or spot, the
meter gets to focus on the part of the image you actually want captured most
faithfully.

Special effect filters can also be a lot of fun at a concert.  Those cheesey
filters that can "stack" several copies of the same image side-by-side can
result in some really neat images if you are shootting a rock concert and
you get the lead singer or guitarist framed properly.

Also, slowing down the shutter can result in some really good implied motion
shots by blurring things like the neck of a guitar, drummers sticks, hand /
fingers moving over strings / keys while the rest of the body remains
relatively motionless.

Have fun, and good luck,
Dudley