From a Joel's post on Copilot:

Direct Connect! We’ve always done everything we can to make sure that Fog Creek Copilot can connect in any networking situation, no matter what firewalls or NATs are in place. To make this happen, both parties make outbound connections to our server, which relays traffic on their behalf. Well, in many cases, this isn’t necessary. So version 2.0 does something rather clever: it sets up the initial connection through our servers, so you get connected right away with 100% reliability. But then once you’re all connected, it quietly, in the background, looks for a way to make a direct connection. If it can’t, no big deal: you just keep relaying through our server. If you can make a direct peer-to-peer connection, it silently shifts your data onto the direct connection. You won’t notice anything except, probably, much faster communication.

How do they change the server connection to a P2P connection?