Watch the 60 minutes piece, they describe it in layman's terms very well. The basic gist is that for any large order, no single exchange will be able to fill it

Watch the 60 minutes piece, they describe it in layman's terms very well. The basic gist is that for any large order, no single exchange will be able to fill it entirely. So exchanges will partially fill the order and let other exchanges fill the rest. What HFT firms are doing is registering the partial fill on one exchange and then using their direct fiber lines to the other exchanges to buy shares before the original order gets there to fill the remaining portion. It's risk-free arbitrage...exploiting the difference in price between two exchanges that will exist for only a fraction of a second knowing that the rest of the order will arrive fractions of a second after they trade.