have a read of http://www.google.com/support/webmasters/bin/answer.py?hl=en&answer=47334 basically if you have a good directory/subject structure and many inbound links to each section that will help, but only if you show as top result for that search anyway.
I'm guessing you would also need to have a very busy site before you get listed like this. Good question, Ive also wondered about this.
That's not a sitemap.. They are Sitelinks. If you have a good navigation structure and rank high for long for a keyword, they appears.