Linka movie within movie

I saw people doing this. They create a button, and link to animation directly onto the site itself while the animation is located on the other site.

From example, i upload my animation with the button i said just now on testing.com, then i upload my real animation on newsgrounds.com, from testing.com, when i click the button, it link directly to the animation in newsgrounds.com without opening another IE windows or change the screen.

The real example is here.
http://www.sticksuicide.com/ss/asylum/view.asp?id=3733

Can someone tell me how to do it?