All they've done there is have a background image on the <body> element repeating down the page. If your design s fixed-width, that's the easiest way to do it. Here's their code:
background: url("body.gif") repeat-y scroll center top #505050;
The image is wider than the content, and has the shadow effect on each side.
You can also do this with CSS3, though it doesn't work in all browsers.