It uses piezo actuators as the "legs", operating them at different phases to move in different directions. This was explained on the YC submission a few days ago:

http://www.hizook.com/blog/2009/08/29/i-swarm-micro-robots-r...

http://news.ycombinator.com/item?id=795396

I think the sound it emits makes it vibrate in the "right" direction.

a magnet under the table.

^_^ kidding