A collimated beam is a parallel bundle of rays. Light from an point source very far away is a very slowly diverging cone, and the limiting case of this is an object infinitely far away, where the light rays coming from it are parallel to each other. Of course, nothing is infinitely far away, but something that is many hundreds of focal lengths is close enough.
If you focus your camera at infinity, it's collecting light from parallel rays entering the lens and focusing it onto a single point on the focusing screen (and the film, if your camera is adjusted correctly). In Mike's setup, he reverses it, sending light from the target at the film gate through the lens and into the SLR used to observe the ray bundle.
The assumption is that the SLR focusing screen and SLR lens agree on infinity focus - since it's a SLR, this is easy to check, just focus on a far away object. Then for the camera to be calibrated, which is a Contax RF in Mike's pictures, he puts a target at the film gate. Light from the target passes through the RF lens. If that lens is set correctly at infinity, the light will be collimated, enter the SLR lens, and be focused correctly on the SLR screen. If the RF lens is not at infinity, then he adjusts the RF lens so that it agrees with its own focusing scale.