These are the Internet Episodes, they were available in SWF (shockwave format)
The concensus is usually that no one has a copy, just doing my annual check...
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O-01 - A mother's courage In an online-only episode, the kids attempt to carve a pumpkin. How Kenny dies : Kills himself with a knife
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O-02 - CableACE Awards The kids are presented with an award
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O-03 - Magic: The Gathering Commercial The kids do a promo for the popular card game
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O-04 - The Tonight Show With Jay Leno The kids discuss the true meaning of Thanksgiving with Jay Leno and his chin. How Kenny dies : Killed by Jay Leno's chin.
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O-05 - Little Town of Bethlehem Ned sings "Little Town of Bethlehem"
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O-06 - O' Holy Night Cartman sings "Oh Holy Night" while being shocked by Kyle.
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O-07 - New Year's Eve South Park characters count down to 1998 How Kenny dies : Killed by the "7" in 1997
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O-08 - Mr. Garrison Commercial Mr. Garrison and Mr. Hat do a promo for a sponsor
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O-09 - Canned Ham A special promoting South Park: Bigger, Longer, and Uncut