Like any other power supply it has a transformer at it's heart. Lets consider an ordinary transformer PSU,
On 50 or 60Hz the rate of change of the magnetic flux is fairly slow, so the induced voltage in the secondary is also low. Now if we increase the frequency, say to around 20KHz, change is flux is quicker and the ouput voltage of the transformer will be higher, by quite a lot. So to get our original voltage we can remove most of the wire from the secondary until we have the correct output voltage.
The same is true for the primary, self inductance at the high frequency will limit the current flowing in the primary, so again remove most of the wire from the primary.
The next step is that we find our transformer core is too big now we have removed wire, so replace this with a smaller core, oh yes, while you are doing this used a material that has fewer iron and hysteresis losses, that will be a ferrite core.
As the output frequency of our transformer is high, we can reduce the size of capacitor used for smoothing, but we will need high speed diodes in the rectifier.
To get the high frequency AC, just rectify the mains with a bit of smoothing, put it through an oscillator running at 20KHz and feed it into the transformer primary. Job done
You could also modify the input oscillator to 'hibernate' under no load conditions and to control the amount of energy passed to the primary of the transformer, now you have a psu that will sense and react to a range of input voltages automatically (90 to 250v usually) This system may also be used to control the output voltage within limits, just like a regulator.
Hope this helps.
HND Electronics UK