Take a batch of nylon powder.. really really small beads. Spread down a very thin, very even layer of the powder. Then, take a laser and "draw" a figure in the powder. As it goes along, it fuses some of the beads together. Now, spread another layer of powder on top of this. Hit it with the laser again. Repeat the process 5-6 thousand times.
As the laser fuses the beads together, your object is built, layer upon layer. When finished, they remove the excess (unused) powder which is then immediately recycled in the next batch.