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Actually, explaining the algorithm requires a few paragraphs, which are therefore separated into several parts below :
http://fastcompression.blogspot.fr/2013/12/finite-state-entropy-new-breed-of.html
http://fastcompression.blogspot.fr/2014/01/fse-decoding-how-it-works.html
http://fastcompression.blogspot.fr/2014/01/huffman-comparison-with-fse.html
http://fastcompression.blogspot.fr/2014/02/fse-defining-optimal-subranges.html
http://fastcompression.blogspot.fr/2014/02/fse-distributing-symbol-values.html
http://fastcompression.blogspot.fr/2014/02/fse-decoding-wrap-up.html
http://fastcompression.blogspot.fr/2014/02/fse-encoding-how-it-works.html
http://fastcompression.blogspot.fr/2014/02/fse-encoding-part-2.html
http://fastcompression.blogspot.fr/2014/02/fse-tricks-memory-efficient-subrange.html
Python wrapper, by Andrew Baldwin : https://bitbucket.org/baldand/pyfse
Open Source Benchmark of Entropy coders, by inikep : http://encode.ru/threads/1920-In-memory-open-source-benchmark-of-entropy-coders