This is just amazing! Probably the coolest use of particles I’ve ever seen… or something like that. Matthias Müller is the genius behind this and it is absolutely brilliant!
It is done in 3ds Max with Particle Flow and the following plug-ins; FumeFX from SitniSati, Particle Flow Tools: Box #3 Pro by Orbaz and renderd with Krakatoa from Prime Focus.
Check out some other cool stuff Müller has done here:
http://www.vimeo.com/user624589/videos
http://matthiasm.cgsociety.org/gallery/
One day I will be able to create awesome things like this, just you wait and see! 
Cheers!
I finally, finally, got around to try out FumeFX—and it was a lot of fun! 
FumeFX is a third party plug-in for 3ds max that is a Fluid Simulation System. It allows you to create realistic fire, smoke and explosions. It is developed by Sitni Sati. Here is some information about the plug-in from the developers website:
FumeFX is a fluid dynamics engine designed for simulation and rendering of realistic fire, smoke, explosion and other gaseous phenomena.
It’s versatility, robustness and intuitive workflow makes it a perfect solution for the most demanding tasks in the computer graphics industry. Almost every aspect of simulation can be customized through 3ds max scripting, allowing user to interfere with simulation computation at the lowest level.
So I started out very simple and just got some fire and smoke working and then to interact with some objects. I also made a lot of notes about different variables and settings so that I don’t forget it. This is what I came up with:
It also gave me the opportunity to try out Fusion from eyeon for compositing. But I get back to that another time when I spent some more time with it.
Cheers!