Dynamic loading using Tabs module and CCK Fieldgroup tabs
That example page uses Quick Tabs module. 


  I want to dynamically load each tab
  only when it is clicked. How can I
  accomplish this?


Quick Tabs gives the option to dynamically load content with ajax. Here is demonstration linked to by the Quick Tabs project page. To get that solution please read the Quick Tabs documentation.

Yes, the example you give uses the Quick Tabs module. It says so in the markup. class="clear-block quicktabs_tabs quicktabs-style-excel ui-tabs-nav tabs primary"