They are running a mod like vSA's sub forum mod. How they have set it up is the category is the top link and all the forum areas under it are the smaller links. Its a "out of the box" setting in vSA'S subforum manager. So using your site as an example to make it easier:
Main category is "Forum Rules". Then the little smaller links in the box would be...
General Forum Rules & Rules for the Exchange Forums. Those little links would have the tiny balloons and just the links.
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