Its mineral oil. The idea has been done a lot but without some kind of heat exchange, any modern processor would heat the oil too fast. Here is one I did:
If you want to do this yourself, make sure you use oil (motor oil, vegetable oil (which can rot and may have salt), or mineral oil (very expensive)) But remember this is for fun, its not actually useful. Just remember those P2 kalamaths don't make as much heat as a C2D. Here are a few ideas that could make this a decent setup:
1. cover hard drive in a thin layer of silicon leaving dry spots to stick heat sinks and then let it get oil cooled too
2. use a pump suited for thick liquids to move the water through a heat exchange to get rid of that extra heat
3. Use a compressor to cool the liquid in the tank (but use a plastic tank and insulate it)
What the one you showed dose:
1. Looks nice
2. May keep quiet for a little while
But keep in mind that those P2s are fan less anyway!
Now the system I did had an air pump to make bubbles and circulate the oil which dose help a bit but the oil did get pretty hot. It was a celeron 2.5 and geforce 6200.
And welcome to the best cooling forum on the net!