It actually works pretty simply — it is simpler than the Javascript implementation. All it does is load a page (in a hidden Iframe) which contains lots of links. If a link is visited, a background (which isn't really a background) is loaded as defined in the CSS. The "background" image will log the information, and then store it (and, in this case, it is displayed to you).

First things first: No, Davee hasn't finished the HEN yet. Which means it isn't out yet. What we do have today is some visual confirmation that the HEN can indeed run emulators, in this case the GBA emulator gpSP.

And the more recent article showing the exploit demo video:

Be patient, everyone. Davee's HEN Kernel exploit will eventually arrive given time. To tide over that wait, here's a little video demonstrating the 5.03 HEN in action. This one was posted by Granite, one of the beta testers of Davee (Team Typhoon).

"This is a demo of the 5.03 firmware running the tiff exploit and booting into a HEN environment on a PSP 2003 (3000 Support also) on 5.03 Official Firmware. This proves that the code survives a reboot and the system software and MAC address can be changed. This is something that only can be done with a kernel exploit. A video launching homebrew will be posted later."