Yes, they use albumin (from eggs) and casein (from milk) to clear the wine. They are both big, "sticky", proteins that clump together and sink, dragging the impurities that make the wine cloudy down with them. They're mostly removed from the wine when the wine is separated from the sediment, but some will undoubtedly remain in the drink. As they are potential allergens, they have to be noted on the bottle.
This procedure is completely normal in wine and beer making. And it's not only eggs and milk that are used - gelatin from pigs is common, as is isinglass, which is a mixture of proteins extracted from fish guts.