Yes, it's sausages baked in a big yorkshire pudding.
Make the yorkshire pudding batter - I tend to follow this recipe:
Use equal volumes of eggs, flour and milk (crack however many eggs you want, for this recipe I would probably use 4 eggs, into a jug and see what it measures up to. Then use this guideline to measure how much milk and flour you need). Then whisk the eggs and milk together, then add the flour gradually, with a pinch of salt. When all mixed leave it for about half an hour.
Brown off some sausages (if you don't do this the skins will get all slimy), and in the meantime put a pan with some oil in the oven on high, to get the oil really hot.
Then, when the oil is hot, put the sausages in the pan, and cover with the batter mix. The batter should seem to cook and rise as soon as it hits the hot oil.
Then put it in the oven on the same high temperature, and cook until it is brown and risen (sorry, no times and oven temperatures, this is my mum's recipe!)
Serve it with gravy and peas.
Hope this helps, sorry is a bit vague. Works for me though!