The Jedi he's talking about was Obi Wan's teacher, who died in the first episode. It explains how Obi can talk to Luke Skywalker after he dies, but it doesn't explain the disappearing when killed.
The EU explination is that as a great Jedi gets older, they draw more and more of their energy from the force instead of from their wheat-bix. Thus, when they are killed there is practically no physical matter left in their form, since they were so close to becoming "one with the force". Tarkin's comment about Obi-Wan being long dead, and Yoda being 900 support this idea, but what the Lucas(tm) reason is I don't know, since I was horrified when Qui-gon didn't disappear.
Side note: Instead using that power to talk to Yoda about the chicks in the after life, you think he could have mentioned to Yoda that Darth Vader was going to kill the other Jedis.
Like they would have believed him.

Remember, they had a holocam in Palpatine's
office, yet they don't have someone assigned to watch that 24/7? And then Anakin tells them that Palpatine is the sith lord, and they make no back-up plans for defending the temple if they fail, despite suspecting that Anakin is starting to side with him? I swear, sometimes I couldn't tell if it was Lucas or Braga writing this thing...
