Its a bird banger. Its not a shotgun shell at all, its more like a m80 with a rocket engine on it. They have a special gun that uses a .22 blank to sit it off and launch it into the air. It goes up maybe 75 feet or so and makes a very nice little bang.
edit- i just looked at that link, I guess they do make them fit into a 12 gauge shell. pardon my ignorance.
There is no such thing as a stupid question, only stupid people.