The wire is lightly oxidised aluminium. You produce it from aluminium wire simply by heating it to around 450 celsius in a humid atmosphere. Usually, the lampmaking machines are just fed with plain aluminium wire and the machine oxidises the wire itself immediately before coiling it in place.
The oxide layer thus formed is a good electrical insulator. As Chris points out, no current flows through this route when the voltage across the lamp is low. But when the filament fails and the voltage applied across the lamp rises to the mains voltage, it is sufficient to break down the insulating coating and weld the inner core across the lamp lead wires.
Care has to be taken with the oxide thickness - too much and it won't break down, too little and it short-circuits at lower voltages. The only reason for wrapping it several times around the lead wires is to guarantee a better contact and make the wire self-supporting. If only one loop was done, it could come loose and fall off, but several coils help to hold each other in place.
Best regards,
James