This is a special wire called Nitinol memory wire. It's an alloy that "remembers" it's original shape. You can set almost any shape that you want by using an extreme source of heat. After the wire cools, you can bend the wire into any shape but when you heat it, it will return to the original shape.
You can order this wire from several science websites. Just do a search for "Nitinol memory wire". It's a lot of fun to play around with.