VRM refers to a Voltage Regulator Module. A VRM commonly contains a mosfet (The
metal–oxide–semiconductor field-effect transistor MOSFET,
MOS-FET, or
MOS FET is a type of
transistor used for amplifying or switching electronic
signals.) an inductor, and a capacitor. The Mosfet is indeed the source of the heat in this circuit. As others have stated, whether you use the term VRM or Mosfet is pretty much irrelevant as long as you are using the EVGA recommended solution and installation procedure. If you are doing your own solution, you better understand what this circuit and those around it are, to avoid creating a thermal pocket that damages the card.
See Darkheran's post above for excellent pictures!
Yes I'm bored today....