You will need red/cyan 3D paper glasses like this one.
Stare at the dots. No illusion yet.
Press left/right buttons to move some of the dots.
The dots that are moved will appear to be at different depth than others.
How the Depth Illusion Works
To generate a 3D percept we need to project the two different pictures to different eyes. Thus, the viewer wears red/cyan glasses. The eye with the red lens will see the cyan image and vice versa. Somehow these different horizontally shifted images are fused and form a 3D percept.