I really love these interactive apps. How are they created? I really want to learn how to make these.

http://www.curiouspuppy.com/

Flash and ActionScript.

Hmmm...guess I need to return to school

Thanks for the answer!

There are lots of programs that will product Flash files (SWF) without you having to learn Flash.
In fact, you can develop these in PowerPoint and then output them to Flash using a PPT to Flash converter.

I develop elearning courses using Adobe Captivate, Articulate Studio, and iSpring Presenter. All these programs will product an interactive Flash file. You can also use SWISH.

Maybe I missed something but the link I visited just played a short video clip. If that is all you want then Try CoffeeCup's WebVideoPlayer will allow you to create a page exaclty like the one you linked to.
You can also do some fun Flash interactivity with CoffeeCup's Firestarter program. Both of those are easy to use and can be alot of fun.

After you have checked out those and if they aren't enough horsepower, you will need to spend some serious cash and invest some time into education. I'm an unabashed Microsoft lemming so I recommend looking into Silverlight technology, Visual Studio 2010 Express is free. And Expression and Blend are in the $500.00 range. If you are determined to spend your money, or just really don't feel the same love for brother Gates I do , Look into Adobe's Flash technology. But be warned your initial cash outlay will be more than $1,000 and depending on need could be over $5,000. That doesn't include training, support, etc. In my opinion the Adobe user community are somewhat elitist and don't encourage or support new users. The biggest advantage to Flash is platform independence develop a Flash app and it will work on your website, the iPod, most cellphones, even Nintendo's Wii console.

I have and use all the programs mentioned and honestly I use CoffeeCup whenever possible, it is easy and fast I can have a video clip with a fully functional user interface online in less than 15 minutes.

If you want to have serious interaction, you'll need some type of scripting, whether it be Actionscript, SwishScript which is basically ActionScript, or DHTML.