I can verify you must be at the store. The way it works is they receive a device that looks like a standard DS model of some sort, and that model is programmed with the Keldeo information, which also verifies whether your system is flagged as having already received it (so if you trade it, in other words, you're screwed).
At the local EB, they had forgotten to turn it on, and I was attempting to assist someone else who had come in (a kid, of course...boy, I felt old) when the discovery was made. After that, both of us got the Keldeo. That's how I know what it looks like. It looks like those demo devices you see at technology stores, however, like the recent one demoing the newest incarnation of Mario Tennis for the 3DS.
Cyclone