From Webfonts.info
Embedded OpenType (.eot) is a font format similar to TrueType, but with modifications aimed at a use on websites. EOT allows webfonts to be bound to a specific domain, so they are protected against a use on a different server. EOT fonts can also use subsetting and be compressed, so the size of the font file is reduced.
How to create EOT fonts
There are currently these tools available:
EOTFAST
Convert TTF fonts to natively compressed EOT files using a simple Drag'n'Drop interface or via the Windows Command-Line. http://eotfast.com/
Microsoft WEFT
A Windows-only application that has not been updated since 2003: http://www.microsoft.com/typography/WEFT.mspx
TTF2EOT
A command line tool for Linux/Unix/Windows, but currently without support for URL-binding or compression: http://code.google.com/p/ttf2eot/
How to use EOT fonts
For code sample see this Wiki page: @font-face support in Internet Explorer