Oh yeah, I didn't mention that. It's only from your boxes. Meaning that you can only use the PokeWalker once you have at least one Pokemon in your box.
And yes, that makes it a total of 4 Pokemon on the Walker. What OmegaDonut said is correct, if you don't have a Pokemon loaded, one from the course may randomly join you.
The whole data of the pkm file is NOT sent to the PokeWalker. You cannot check any data about the Pokemon on the Walker other than the Name and Species. There is a key command (similar to the erasing file command) that will return your Pokemon back to your HGSS game if, say, you lost your PokeWalker. I'll get out my manual and post this later, but I'm sure it will be in the English manuals as well. This means the Pokemon you send out is still stored on the HGSS cart somewhere. This also leads me to believe that the Pokemon you catch are not fully generated until you send them back to HGSS.
There is also a key command to reset a PokeWalker, if you want to change the game it is associated with.