The embroidery floss can be the cheap kind that comes in huge packs like this! You don't need anything fancy. Just make sure it's six stranded - otherwise it won't be thick enough for a nice bracelet.
Lion Brand yarn also has these tiny little skeins of yarn called Bonbons that are perfect. And lordy they are cute.
The tape or pins will keep the bracelet in place as you braid/knot the friendship bracelet. :)