There is a lot to this, you have to be number 1 for that keyword for a long time without fluxuating from the number one position. You also have to have a very SEO friendly navigation on your site so that the spiders can read the navigation and create these links under your site.
sitelinks are made automatically, i have seen results where the # 2 or even #3 have them...just have good navigation, an authority site basically, and remain there for some time...
not only the 1st ranked site gets those sitelinks. They are generated automatically based on the userfriendliness and internal linking of your site. If you have a clean structure, clean code, and good linking, you will get them at some point... but you have no control over them.
authority of site having great value in eyes of google so for user convieniance google give direct link of such site., once can achieve that by doing ongoing seo.
You can be like them if you can offer relevant content to your visitors and get quality backlinks to be consider as authority site.