What that ESA (European Space Agency) page titled Hot gas sloshing in a galactic cauldron that you link to describes are called WHIM (Warm–Hot Intergalactic Medium). They are not interstellar medium, but intergalactic medium gas. The difference in density is huge, with interstellar medium density at an average of $\rho ∼ 1\ ppcm$ (one proton per cubic centimeter), but the density of these WHIM being even a few orders of magnitude lower at $\rho ∼ 10^{−6}−10^{−5}\ ppcm$, or roughly 1 to 10 protons per cubic meter (NASA's Chandra X-ray Observatory quotes average density of 6 protons per cubic meter).

What is interesting about WHIM is that they are absolutely huge. We're talking of distances that extend across clusters of galaxies (so stretching multiple millions of light years), which means that even as tenuous as they are, account for a large portion of the baryonic matter of the Universe:

Such matter is predicted to account for a sizable fraction ($∼ 50\%$) of all the baryons in the local        ($z < 1$ [redshift in the infrared spectrum]) Universe, and it is thus considered the best candidate to host the baryons seen at high redshift and missing from the low redshift census.

So now about their heat emissions, and why are they detected in the X-ray range in the first place (the ESA's article mentions the photograph featured there was taken by the ESA’s XMM-Newton X-ray observatory):

Electrons and baryons in the WHIM are shock-heated during their infall in the dark matter LSS [Large–Scale Structures] potential well, and settle in filamentary/sheet-like structures surrounding LSSs.

I've added a few clarifications in quotes encapsulated in square brackets, but what this means is that parts of these WHIM interact with AGN (Active Galactic Nucleus) as the galaxies pass by, and the X-ray emissions of AGN excite Baryonic matter to a temperature $T ∼ 10^5−10^7 K$.