Questions On Use Of SQL Server 2005 Functionality In Gridview Paging

I have a webpage that displays 4000 or more records in a GridView control powered by a SqlDataSource.  It's very slow.  I'm reading the following article on custom paging: http://aspnet.4guysfromrolla.com/articles/031506-1.aspx.  This article uses an ObjectDataSource, and some functionality new to Sql Server 2005 to implement custom paging.
There is a stored procedure called GetEmployeesSubestByDepartmentIDSorted that looks like this:
ALTER PROCEDURE dbo.GetEmployeesSubsetByDepartmentIDSorted
(
    @DepartmentID        int,
    @sortExpression        nvarchar(50),
    @startRowIndex        int,
    @maximumRows        int
)
AS
    IF @DepartmentID IS NULL
        -- If @DepartmentID is null, then we want to get all employees
        EXEC dbo.GetEmployeesSubsetSorted @sortExpression, @startRowIndex, @maximumRows
    ELSE
      BEGIN
        -- Otherwise we want to get just those employees in the specified department
        IF LEN(@sortExpression) = 0
            SET @sortExpression = 'EmployeeID'

        -- Since @startRowIndex is zero-based in the data Web control, but one-based w/ROW_NUMBER(), increment
        SET @startRowIndex = @startRowIndex + 1

        -- Issue query
        DECLARE @sql nvarchar(4000)
        SET @sql = 'SELECT EmployeeID, LastName, FirstName, DepartmentID, Salary,
                    HireDate, DepartmentName
        FROM
            (SELECT EmployeeID, LastName, FirstName, e.DepartmentID, Salary,
                    HireDate, d.Name as DepartmentName,
                    ROW_NUMBER() OVER(ORDER BY ' + @sortExpression + ') as RowNum
             FROM Employees e
                INNER JOIN Departments d ON
                    e.DepartmentID = d.DepartmentID
             WHERE e.DepartmentID = ' + CONVERT(nvarchar(10), @DepartmentID) + '
            ) as EmpInfo
        WHERE RowNum BETWEEN ' + CONVERT(nvarchar(10), @startRowIndex) +
                        ' AND (' + CONVERT(nvarchar(10), @startRowIndex) + ' + '
                        + CONVERT(nvarchar(10), @maximumRows) + ') - 1'
       
        -- Execute the SQL query
        EXEC sp_executesql @sql
      END

The part that's bold is the part I don't understand.  Can someone shed some light on this for me?  What is this doing and why?
Diane