No, Joey Russell did not really die on Trick or Treat. On the season 2, episode 6 titled Superstition, the show ended with a dedication to the memory of Joey Russell who died on the way home from filming. The voice over narrator then said it was just a joke.
Trick or Treat aired on Channel 4, hosted by Derren Brown. Participants in the show must choose a card, either a "Trick" or a "Treat" card. If they choose the "Trick" card, they will have a bad experience and those who choose the "Treat" card, will get a good experience. Only two seasons have been filmed.
Of interest, Trick or Treat host Derren Brown recently appeared as the banker on Deal or No Deal as part of Channel 4's Mashup.