The idea is that you take a photo of your computer screen which has a background on it of the area behind the screen. Take this photo, for example. The person who took the photo has taken a photo of their desk with a lavalamp on it, set that photo as their desktop and then taken a photo of the two combined.
I think it's pretty clever - especially with some of the others where there are cats sitting behind the monitor with tails sticking out. They have to be perfectly aligned for it all to work.