It actually has the whole dogecoin application file on it as far as i know, you run the program from the usb stick, the wallet syncs and you can transfer doges from or to the usb stick wallet

At least thats how i understands it works, though i do not have one of these.

There is a thread over on reddit about it:

http://www.reddit.com/r/dogecoin/comments/1w0v3f/look_what_arrived_in_the_post_this_morning_much/