They are using spans and background-images. You can see this in Firebug (other DOM explorers are available...)
Below is the code for the active list item with the tab. The two corner background images are very small images that are part of a sprite. They go in the two spans above the span that surrounds the link.
<li class="travel"> <span class="tl"> </span> <span class="tr"> </span> <span class="link-wocc linkro-wocc"> <a href="/travel/index.html">Travel</a> </span> </li>