How did they make the Facebook Chat program not reload on changing page?

[Unca Alby]

Look in to using Jquery. Dojo, or Prototype.

Those are Javascript libraries which include Ajax and such.

Jquery, in particular, has features that will use Ajax to replace the contents of a <div> without a refresh.

I can't say whether Facebook uses one of these tools or something else altogether, or mayhaps even wrote their own, but I think any one of those tools will do what you want.