This is a common question to people just finding out about HHO gas and the technology behind it.
Here's a quick summary:
Hydrogen Generators, like the type we sell here, are based on the patented discoveries of a William Rhodes and Yull Brown. Both men developed a special type of "Single Cell" electrolyzer that extracted hydrogen and oxygen out of water, but unlike the common practice of separating the two gases, they realized you could actually allow them to combine into one, energetic, very combustible gas.
This gas is created "On Demand", only when engine is running. Nothing is compressed or stored anywhere - it is used immediately as it is made, making it quite safe. The gas is filtered and injected into the air intake of the car, where it is drawn in with the regular air and fuel of the vehicle. It then acts as a "Combustion Catalyst" causing the fuel to burn more quickly and completely. This results in a more efficient engine cycle, reduces emissions, adds pep to the accelerator, and increases the mileage on average from 20-50%. Most of the general public have still never heard of it and are surprised upon its discovery. To read the full explanation go here.