http://en.wikipedia.org/wiki/Shepard_tone How do you make music go up or down infinitely? Answer: you trick the ear. The Wikipedia article explains how. This is a pretty darn cool effect.
As a sidenote, if you're a gamer and want a familiar example of this, play Super Mario 64 and try going up the staircase to Bowser's final stage without having a full 70 stars. Nope, you'll never hear the music finish going up, because it's a figure made of Shepard tones, just like you won't ever finish ascending the staircase (unless you cheat by glitching the game, of course).