The computer is booting off of the CD, or the network, and then basically running a slideshow from a file on another computers HDD. As far as I knew, you can't get Windows to boot like that using only a CD. There are distros of Linux that run directly from the CD (although program load times are horrible... think PS2, with heavier compression) such as Knoppix.
Iono how he did it, but why not send him a PM?