http://pyrofyr.com/wk/index.php I would like to build a similar site, but I don't know how to build it. So I'm wondering if it's running on some sort of script that I can use?
you can try using wordpress. you can easily find a template to use and the setup is fairly straight forward. It runs on php so you will need a hosting provider that supports this.
Do you call this a site? .. Not a single link works - and it is not running on any standard script. It's plain php page created by someone.