Baked Alaska is amazing! Yes, that is ice cream in the center. And yes, it is baked in the oven.
Why doesn't it melt? The meringue provides enough insulation that it doesn't melt in the short time it's in the oven.
It looks complicated; it isn't. Ice cream is piled on a cake and then covered with meringue. It goes in the oven long enough to brown the meringue.
We recommend our cream cake mixes for the cake.