My understanding (which could easily be wrong) is that it works similar to Sandboxie. However it looks like it is using the Hyper-V container functionality they

My understanding (which could easily be wrong) is that it works similar to Sandboxie. However it looks like it is using the Hyper-V container functionality they recently announced. So basically when you run this protected Edge session it starts the browser in a Hyper-V container, it has some read access to the host file system, registry, etc. but no write and when the session is closed everything else goes with it.