MOSTLY drawn in Paint, hehe. MOSTLY. I have a very old copy of photoshop to apply glow effects and such, and also to resize it and hide the MS-Paint-ness a bit. MS Paint is NOT a good program to draw in and I do NOT recommend it. I only do it because I've been doing it for so long I'm kind of stuck and can't draw any other way :(
There is a partial tutorial here http://www.tangwistel.com/files/tut1.png that talks about the lineart part. We want to do a complete coloring walkthrough because color is a bit more involved, but we're waiting on a really good page for that (preferably one that doesn't have loads of water). I can tell you right now that the Color Eraser is an awesome tool for shading because it's the closest thing MS Paint can get to layers/masks.
Please, ask questions! Ask how I did stuff! I'll be only too happy to discuss it.