nope... there is no connection unless the browser initiates it. so you're pretty much stuck with a plugin or autorefreshing solution, although you can be clever with framesets as people have mentioned.
in your example for instance it's accessing /popup/instant_message.asp. dunno what's supposed to happen from there cuz my german ran out after I clicked on davieboy under "friends online" and submitted the form that came up with a message. the window changed to a bunch of german I couldn't read but I didn't see my message anywhere. :)