The gallery you are looking at isn't a Joomla extension. You could probably get it to run inside joomla, but you would need to create your own extension (custom module), which can support that xml gallery or find an xml/swf extension which will support it.
Have you looked in the JED there are loads of gallery options even ones that support forms of xml flash.
Like this one
Gallery XML You can install and test it. The reviews aren't great but it seems to have active development as of 14/02/2011. It's a component and plugin there is also a category module to support that component
Gallery XML CATPro module.
There are loads of gallery solutions in the JED, it could be worth exploring them to find the one that fits your requirements
Gallery Extensions
Edit:
Forgot to say there is a 404 on your page the xml file is missing/can't be found.
Here is a link to the JEDs
flash manager extensions maybe one of those can help you out.