I think the answer is already found in the page you provided
We make a call to the fetch_mldata function on Line 13 that downloads
the original MNIST dataset from the mldata.org repository.
The actual dataset is roughly 55mb so it may take a few seconds to
download. However, once the dataset is downloaded it is cached locally
on your machine so you will not have to download it again
It'll load the dataset once, then use the locally cached copy.
Source: http://www.pyimagesearch.com/2014/09/22/getting-started-deep-learning-python/
EDIT: There's some information on http://scikit-learn.org/stable/datasets/mldata.html, e.g.
The MNIST database contains a total of 70000 examples of handwritten
digits of size 28x28 pixels, labeled from 0 to 9
and
After the first download, the dataset is cached locally in the path
specified by the data_home keyword argument, which defaults to
~/scikit_learn_data/