I don't know for sure. Though I don't think that is possible with just a .gif image.
It can be Flash, Java, and I am sure there is more, but those two are very popular. I am guessing flash, but I didn't take the time to look and see how they did it. I think it might be possible with some php as well.
But I am not the person to be asking this. I think you would have more luck asking this in one of the programming forums.
That is true, .png's can have transparency.
Though some older web browsers do not support transparency in .PNG files. I believe IE6 is like that. Though I do prefer .PNG files, sometimes I have to use the .gif format. But it's about the same quality when using a .gif as long as you save for web and devices.
That's what I'm most confused about.
Anyway that is a great site...!! The guy who designed deserves great appreciation...!!
He has created great and marvelous 18 pages...!! This is one of the best website i have ever seen...!!
One way you can learn how someone constructed a website is by using the Firebug addon for Firefox. It pops up and lets you navigate through the structure. You can make changes to figure out how a certain piece affects the final product. I've used it extensively to figure out how great websites do it and where bad websites go wrong. I just wish that there was something like this available for IE6! That browser causes more headaches than anything else.