According to their website, it has shorts sewn in it.
http://exerskirt.com/default.aspx
"The unique design of the exerskirt will allow you to feel comfortable while exercising and be confident that you look good and modest. The outer skirt is cut in an A-line to flatter women of all shapes and sizes. The inner shorts are form-fitting to ensure complete comfort and coverage at all times. The material is soft and sweatproof... it can even be worn in the water!!!!"