This page uses pM Pro for the FAQ. As you suggested, there is a “faq” weblog created. The question is the entry Title and the answer is placed in the Body (though you could put it in whichever field you want, of course).
The list at the top is done with the “weblog_headlines” pM Tag and the actual FAQ entries are displayed with the “weblog_entries” pM Tag.
weblog_headlines Template:
<li><a href="#entry%%id%%">%%title%%</a></li>
weblog_entries Template:
<a name="entry%%id%%" id="entry%%id%%"></a>
<h3 class="question">%%title%%</h3>
<div>
%%body%%
</div>
Actual (relevant) code in the file:
<ul>
<?php weblog_headlines("faq", 50); ?>
</ul>
<?php weblog_entries($id,"faq"); ?>