If you use that my account mod, and then use this as your link in the header menu, it will work exactly like that:
Change 'Member Options' to whatever you want, and replace class="menu" with whatever class you have assigned to the links in the header.
I use it for just about all the sites I do. You can see a live version of it here:
http://www.bellalucce.com
I used buttons instead of text, but you get the idea. The 'VIP Login' button changes if you are logged in, at which point the link will take you to the members area instead of the login screen.
FYI, the guy on the site you referenced just checked the 'Use secure login form on a separate page (HTTPS):' setting in General Settings to get that login screen to show up on a different page.