Are you talking about how they give you the "Source" and then the "Result" right next to it? All they are doing there is printing the source to the screen and then typing the output. They're not actually compiling and using the compiled script to output the "Result". They do basically this:
This code would go in the little Source DIV box:
<?php
echo "Hello World!";
?>
And this would be actually manually typed into the Result DIV box:
Hello World!
They're not actually compiling, they're manually showing you the source and then manually giving you the product of the source when compiled at runtime.