its really a specilised bit of kit, however if you want something like it, my first though would be use an isolation transformer with a few turns short on the output, rectified mains is about 335V DC, from there you can get away with linear stage probably loosing 10V for a nice stable output, as for linear voltage regulation for very high voltages, you can get away with a 5V op amp suprisingly, you have an npn on your op amps output, that is used to pull down a main pass element pnp's base, and turn it irrespective of the voltage its regualting, the transistors just have to be able to cope with the voltage (quite a few capable)
if you want fancy like the torn down one, its pretty much buy or buggered, as a whole lot of time and thought went into that thing,