Quick yahoo search. When they vote for a new pope :
"After the votes are counted each time, the ballots are
burned. If there has been no winner, a chemical is
mixed with the ballots to produce black smoke when
they are burned. Sight of the black smoke emerging
from the roof of the Vatican Palace tells those waiting
in St. Peter's Square that a pope has not yet been
selected. When a winner has been selected, the
ballots are burned alone, and the white smoke
indicates there is a new pope. "