When you click "Submit" on the page, another request is made to the XPort/Arduino, this time with a GET command ?color=#xxxxxx with the color information. The Arduino looks for this command, parses the color requested and calls analogWrite() on the three LEDs to change them into that color.
Want to try it out? Go to -> http://ladyada.net/make/eshield/colorpickerfwd.html which will forward you to the correct IP address (since I dont have DNS for my home network). The XPort can only receive one connection at a time so if you cant get thru, please be patient!