Shares once you have purchased sits in your demat which is usually opened at either NSDL or CDSL via a Depository Participant (the company that opens your demat account). Though NSDL/CDSL are government institutions, they need to earn a revenue, and the way they earn is by charging a transaction fees whenever shares leave your demat account. Both NSDL/CDSL charge around Rs 5 per debit, that is Rs 5/Scrip/Day (immaterial of how many times you have sold during the day).
Along with NSDL/CDSL charges, the depository business is usually managed by a different department, and hence the brokers will charge over and above what NSDL/CDSL charges to meet their running cost of your demat account. The DP transaction charge, as they are called is usually negligible.