You start with natural yogurt (with no setting agents like gelatin). You line a strainer with cheesecloth, put it over a container, and put the yogurt in the strainer, cover the yogurt with plastic wrap (or, in my case, a plastic bag), and then put it in the fridge for several hours.
The yogurt becomes concentrated. You can then use it instead of sour cream in dips, etc.
I inadvertantly bought vanilla yogurt instead of plain, so I ended up with really thick yogurt. It was very enjoyable.
I was amazed - I got almost a soup bowl full of liquid out of one container of yogurt.