There is a scheme $Aut_X$ of infinite type over a smooth $X$ whose set of points consists of pairs $(x\in X, t_x: X_{(x)}\cong \hat{D_n})$, where $\hat{D_n}$ is the formal disc, $\mathcal{O}(\hat{D_n}):=\mathbb{C}[[x_1,\ldots,x_n]]$. The fiber over each point $x\in X$ is the group $Aut(X_{(x)})$ of automorphisms of the formal neighborhood of $x$ preserving the maximal ideal, which is in turn (non-canonically) isomorphic to $Aut^0(\hat{D_n})$, the group of automorphisms of $\hat{D_n}$ preserving the origin.
[edit in processNow, sorrythe scheme $Aut_X$ is actually a $\hat G$-torsor over $X_{dR}$, where (I gather from David Ben-Zvi's comments) $\hat G$ is something more like an inductive limit of the groups of automorphisms on $n$th infinitessimal neighboroods of the origin in $D_n$.]
Second, in geometry: The module $M$ is a Harish-Chandra module for the pair $(W_n,Aut_0(C[[x_1,...,x_n]]))$. This means: $W_n$ has a Lie sub algebra $W^0$ of vector fields which vanish at the origin (so they have no constant vector field terms like $\partial_i$). $W^0$ (or perhaps its completion w.r.t order of vanishing at origin) is the Lie algebra of $Aut_0(C[[x_1,...,x_n]])$, as it consists of derivations which preserve the maximal ideal (not sure exactly how you make precise that it is "the Lie algebra", but anyways, there is an exponential map turning an integrable $W^0$ module into an $Aut_0(C[[x_1,...,x_n]]$)-module ). The assumptions on $M$ were precisely those that make $M$ an integrable $W^0$ module, and so we can regard $M$ as a $G$-module. Well now we have an associated bundle construction for the $G$-torsor $X\to X_{dR}$$Aut_X\to X$, and we can use this to produce a sheaf of vector spaces (not quasi-coherent!) over $X_{dR}$$X$ with fiber $M$. We can pull back $M$ by $\pi$ to a sheaf $M_X$ (again, not quasi-coherent!) on $X$.
There is one more detail which is thatBetter $M$ wasn't only ahas an action of the operators $G$-module$\partial_i$, but it also hadand we can exponentiate the constant vector fieldsaction of all of $\partial_i$$W_n$ to the group $\hat G$. It turns out That means that these equipwe can instead construct the sheafassociated bundle for the $M_X$ with$\hat G$ torsor $Aut_X\to X_{dR}$, which will give us a crystal structurebundle over $X_{dR}$ with fiber $M$ again. Now, as we can identify infinitesimally nearby fibers of $M_X$pullback this bundle via these fields$\pi$ to get a bundle on $X$ with fiber $M$. This I understand less clearlytime, although if one is comfortable with this technologyhowever, it's probably clear whya pullback of a sheaf of vector spaces on the deRham stack, which by (some people's definition) is a crystal of vector spaces on $X$.