These buttons were made with the JPEG (.jpg) file format option.
The main advantage with the JPEG file format is its ability to display millions of colors.
This seems like a lot of colors, but when you have a button that is rounded, beveled, embossed, or even shiny, you need a lot of gradual, light-to-dark color changes in the image. Choosing JPEG will allow FrontPage to use millions of colors for those gradual changes, which means your buttons will look very smooth and rounded.
The main disadvantage for this option has to do with its background. JPEGs always have a solid background—even if the button has a rounded shape to it. If your page background is solid, this isn't too much of a problem because you can make the button's background color match the page's background. But if your page doesn't have a solid background (like the illustration here), then the JPEG-formatted button may not float on top of the background very gracefully.