They pump electrical energy into a microwave generator that feeds the whole system. This isn't energy from nothing. It's about generating thrust without any apparent ejection of matter - that's important for travelling interstellar distances because those interstellar services stations are a long way apart, and charge ridiculous prices for refuelling
More to the point, there are ways of generating electricity that don't require large amounts of consumable fuel, so if you can generate thrust from a purely electrical system you don't have to carry as much physical fuel around. Reading up on the stuff linked in this article it looks like the current theory is that matter is ejected from the "engine" in the form of paired photons - my guess is the "bouncing around" actually sets up standing waves that are amplified through feedback from the incoming microwaves to the point where they generated this paired-photon exhaust. If that mode of action is supported by further experimentation it should be possible to increase the efficiency of the system; really it's a question of whether we'll ever get a fuel source with high enough power:weight for it to realistically drive a self-powered EM Drive vehicle. But for that it's worth remembering that, if you can avoid the gravity wells of the planets and other bodies you pass, you don't need to apply thrust continuously - once you get up to speed you can kill the drive and just coast...
EDIT:
Indeed, as TheAnimus said (much quicker & more concisely), it's a fancy magnetron. Just like your microwave oven at home.