The audio files are pure sine waves (e.g. the A above middle C is 440 Hz) generated by Audacity and saved in .ogg format (an open-source encoding).
Unfortunately it will only work in a browser that supports
HTML 5 the Audio tag, which as of right now is pretty much only (shameless plug) Firefox 3.5.
August 28, 2009: EDITED TO ADD: The web-based piano has been moved to evilbrainjono.net/music, where I am working on integrating it into a full web-based music composition lab.