Just as Virtual said, they use images to get the shadows, if you want to do it without images. The easiest way is by using the CSS3 box shadows.
Code:
.box_shadow {
-moz-box-shadow: 0px 0px 15px #000; /* FF3.5+ */
-webkit-box-shadow: 0px 0px 15px #000; /* Saf3.0+, Chrome */
box-shadow: 0px 0px 15px #000; /* Opera 10.5, IE 9.0 */
filter: progid:DXImageTransform.Microsoft.dropshadow(OffX=0px, OffY=0px, Color=’#000000′); /* IE6,IE7 */
-ms-filter: “progid:DXImageTransform.Microsoft.dropshadow(OffX=0px, OffY=0px, Color=’#000000′)”; /* IE8 */
}
^ this code would add something similar to the site you linked.
An awesome site for changing those settings automatically cross browser is http://css3please.com/.