I think most RDBM systems have a way to pin a table or database in memory. The difference with the Microsoft solution is that it is a separate engine designed explicitly for memory. So there is no locking or blocking of pages. There are some other neat features as well, like hash indexes, but I have been able to push an 8 core box to ~80,000 inserts per second from a remote client, and over 200,000 per second for a test I ran on the host. I have not yet ran tests for express edition, but I will be interested to see how it performs.

To answer your other question, you have the option to either keep it all in memory (and lose on reboot) or commit the data to disk. In my testing I only saw a ~10% performance penalty for committed data to disk (granted we have extremely fast SSDs).