How to add item to dropdownlist directly from the dropdownlist itself?

Hello everyone, I saw this functionality on a site: http://screencast.com/t/mhJap9bi. When you click on the dropdownlist, it has the last item as adding new item to the dropdown. Then you can add item to the database and then bind the dropdownlist without postback.
I just wonder how this is done? Would appreciated it if you could share some links.

Thanks.