How do I implement the autocomplete functionality in Webforms?
Autocomplete is implemented in Drupal through AJAX. When users type
  into a textbox, code on the client page dynamically loads new data
  from the server (a Drupal website) and uses this data to update the
  user display (provide a drop-down list of matching options, which the
  user can select from).


Available autocomplete functions (D6):


user_autocomplete() - Use this function to load matching user names.
taxonomy_autocomplete() - Use this function to load matching taxonomy terms. 


If you want to have your own autocomplete function it is also possible.
Please see a full article on this subject on drupal.org "Textfield that uses autocomplete"
to see how to build a custom autocomplete function.