Never heard of conservation of energy? Energy changes forms, it is never destroyed or created. Example. your gasoline contains chemical energy, which is turned into heat energy in the cumbustion process, which is turned into kinetic energy as the engine moves the car, which is turned into heat energy again as the brakes slow the car down. Obviously there are a lot of other energy conversions going on throughout that time but that is the basics. Industrial physics, which invovles energy, heat, and hydraulic physics, was a requirement for my automotive degree.
Now, the alternator's load on the engine is not based on speed. the more current that is drawn from the charging system, the harder it is to mechanically turn the alternator. This is because the alternators stator (or is it reluctor? I always mix these two up) is an electromagnet that is given varying votages to change the strenth of it's magnetic field. The stronger the field, the more resitance to rotation it puts as it rotates inside the coils, but the more energy is transfered from mechanical to electrical in the process. Alternator field voltage is controlled by the voltage regulator, when voltage drops in the system, indicating a current draw, the regulator increases field voltage to increase alternator output current. If you full-field an alternator they can often make as much as 70 volts (this is how on-board welders for off-roaders work, they isolate the charging system, raise the idle, and full-field the alternator to weld things). So, to put it basically, the more current drawn from the alternator, the more mechanical resitance is put on the engine. It's easy to tell in a small car with a small engine, turn on the rear defroster and note the engine will drop it's idle speed for a split second. Or take an alternator on a bench, turn the pulley and I bet it turns easy. Give it a field voltage and I bet you can't even turn it.