It uses the excellent free 'Natural Earth' dataset from Tom Patterson - see http://www.shadedrelief.com/natural/index.html, together with the free countries, cities, lakes and rivers dataset that comes with ArcGIS. The projection is Goode Interrupted Homolosine. I used the Maplex label placement extension which these days comes free with ArcInfo to generate and place all the labels, and the result was quite plausible, even though I wasn't trying to create a production cartographic product!
