This particular website was built in Flash. It is quick to load because most of the graphical (if not all) content is vector graphics. The difference between vector graphics (this site) and bitmap graphics (such as your family pictures in jpegs, tiffs, or bmps) is that vector graphics use mathematical functions to draw lines and fill colors (and gradients) instead of pixel-for pixel information about color. That results in a very small site, and also: you can try zooming in and you will see that the quality does not degrade (unlike jpegs, bmps, tiffs..). I assume that the background music probably "weighs" more in terms of disk space then the rest of the graphical content which is pure vector.
BTW, flash can mix content (vector+bitmap), but this guy made this site without any bitmaps so it can be small.
More about vectors vs bitmaps: http://graphicssoft.about.com/od/aboutgraphics/a/bitmapvector.htm
More about Flash websites: http://en.wikipedia.org/wiki/Adobe_Flash
To top off my answer: This site is made to run from cache, and also checks for internet connectivity. If this cached website can detect internet connectivity, it is scripted so it does not run. The author of the site obviously did this so the user can appreciate the site's small size, and the authors know-how :)