There are several techniques, some of them are:
* Show in a frame on the company's server
* Sends JavaScript code that retrieves the message from the server
* Sends an ActiveX / Java / Flash client that displays the message from the server and resists attempts to copy/paste
* Sends the file with DRM, and a client that would enforce the DRM rules
Being that the website uses flash on its first page, I would hazard a guess that a Flash client is involved. I don't like to login to these sites with credentials from other sites, especially if I only want a bit of information.
By the way the idea isn't new by any stretch of the word. http://readnotify.com have been at it for years.
[edited for formatting]