they are not puncture proof, run flats just allow you to carry on driving after you get a puncture.
There are two run flat systems. one works by having a very stiff side wall of the tyre so if it does get a puncture the strength of the side wall will still hold the tyre in shape and allow you to continue driving, the other works by having a thick support band around the center of the wheel rim, if the tyre gets a puncture the car drops onto this support band which supports the car so you can carry on driving.