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, then i upload my real animation on, from, when i click the button, it link directly to the animation in without opening another IE windows or change the screen.

The real example is here.

Can someone tell me how to do it?