I thought I'd try and answer this and then thought better of it as I'll only muck it up! But this gives you the gist of how it works:

The way to look at it is that broker A might have their prices out of whack, or broker B or both brokers - you may not necessarily know. So, you might win on one trade and lose the spread on the other but come out in front across the pair - or make a little on both trades. barjon does the risk version of this (as described in the video) between the FTSE and the DOW:Tim.

PS. Thread moved to the 'Trading Systems forum. Not ideal, I know, but more appropriate than The Foyer!