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Anyway, I had a look and saw it was pretty simple. As you already pointed out, it's not an ordinary popup: it doesn't open a new window. Notice the empty DIV at the beginning of the <body>:
<div id="message" style="Z-INDEX: 1; LEFT: 8px; POSITION: absolute; TOP: 20px; "></div>
(I removed some layout stuff.)
This is the layer in which the images are shown onmouseover.
Every thumbnail (not really thumbnails here, just shrunken images) is embedded inside a hyperlink with some event handlers:
<a onMouseMove="msgposit()" onMouseOver="msgset('/images/123.jpg')" onMouseOut="msghide()" href="somefile.asp"><img src="/images/123.jpg" width="60" height="85" border="0"></a>
The script functions are IE only, so I won't discuss them in detail here. (This forum is about the World Wide Web, not Bill's Backyard).
msgposit() get's the position of the mouse pointer and uses that as an offset to position the message DIV.
msgset(img) modifies the innerHTML property of the message DIV. It inserts the image into the message DIV, so to say.
msghide() hides the message DIV whenever the mouse pointer no longer hovers over the thumbnail. It simply sets the innerHTML property to empty.
I hope this helps you.