How can a small device produce two million volts?
Keep in mind that shuffling your feet across the carpet can generate tens of  thousands of volts, as does an old fashioned photoflash or the igniter on your gas grill. Automobile ignition systems used to rely on a very simple step-up transformer where a capacitor charged to 12 volts was discharged through the primary, again producing tens of thousands of volts. Your handheld "stun gun" might work like the old photoflash or ignition circuits. What they are not telling you is that the amount of energy delivered may be very small.

And, as Andy aka mentioned, it is not likely that the advertisement is completely accurate. Do they guarantee that it will immobilize a professional football player?