It's basically a GPU and its memory on this small square shaped PCB board. On one side, it has the PCI-Express interface. If your notebook supports MXM, you can swap and upgrade GPU's as they come out. I think nVIDIA even came out or is coming out with a SLI MXM solution for notebooks. Basically the motherboard of the laptop has two PCI-E slots for TWO MXM GPU's that you can upgrade.
There was also this graphics card that MSI had a prototype of at CeBIT 2006 where it's this PCB with two MXM PCI-E slots, but the PCB itself is in the shape of a normal graphics card and plugs into a PCI-E slot.
Here's a great site about MXM: