The Castle ESC is programmed by your PC with Castle's little doodad plugged into the USB port and a cable going from the doodad to the ESC. When you buy an ESC I think they give you a coupon you can send in for the doodad, although maybe money is involved, too. You also need to download the software from Castle's Web site.
The only other ESC with which I am familiar (and I'm not very familiar with it yet) is the Jeti. You get a separate box for $30 or so to program it.