Nested object initializer syntax

This syntax is called Object Initialization. C# specification clearly gives a lot of examples on this subject:

7.6.10.2 Object initializers

An object initializer
consists of a sequence of member initializers, enclosed by { and }
tokens and separated by commas. Each member initializer must name an
accessible field or property of the object being initialized, followed
by an equals sign and an expression or an object initializer or
collection initializer. It is an error for an object initializer to
include more than one member initializer for the same field or
property. It is not possible for the object initializer to refer to
the newly created object it is initializing.

Examples are:

Rectangle r = new Rectangle
            {
                P1 = { X = 0, Y = 1 },
                P2 = { X = 2, Y = 3 }
            };

Compiles down to:

Rectangle r = new Rectangle();
r.P1.X = 0;
r.P1.Y = 1;
r.P2.X = 2;
r.P2.Y = 3;

Having:

public class Rectangle
{
    public Rectangle()
    {
        P1 = new Point(); //default Point for demo purpose
        P2 = new Point(); //default Point for demo purpose
    }

    public Point P1 { get; set; }
    public Point P2 { get; set; }
}

and

public class Point
{
    public int X { get; set; }
    public int Y { get; set; }
}

Also consider reading a great chapter 8.3 Simplified initialization in C# in depth book. Jon Skeet provides another look at advantages of using this kind of syntax for initializing tree-like structures.