I don't see that many, but some places have them. Any form of direct HTML link triggers what you see, but if you simply enter the address manually into your browser, it works.

Don't know how they do it, exactly.

Generally, on the internet, it's considered bad form for a blog to "hotlink" photos and such (put a link directly to the original site's photo URL), and instead they download copies onto their own sites for such links. Hotlinks from the big boards can flatten a little site, or expose the site owner to excessive fees that are not his fault. I don't think Drudge hotlinks much, but routinely clogs sites up simply by referring to them.

I hotlink here all the time, since I don't think this board, or my posts for that matter, get enough traffic to create a hazard for the source site.