It looks like what they've done is the old "James Bond" opening credits travelling matte, updated for video.

In other words: You have a tranlucent screen illuminated from behind with a single hard source. Providing the dancer stays close to the screen you end up with a black silhouette and a white background.
You then tell your editing softaware to use white as the background, In this case you could chroma-key or Luma-key, both will give you the same result and enable you to replace the white with whatever you want.

The theory's easy, getting it right isn't...