See the picture above. Is there a website where these (perhaps not so basic) notations are collected?
UPDATE: I see Wikipedia has a nice collection of musical notations.
How do I play the slur on the piano? The slur example on Wikipedia is not to much help :(
As you've already discovered, it's a slur, and it means that you should play the notes that fall under it legato.
In musical notation the Italian word legato (literally meaning "tied together") indicates that musical notes are played or sung smoothly and connected. That is, in transitioning from note to note, there should be no intervening silence.
Essentially, you want one note to stop ringing the same instant that the next begins ringing. This is obviously contrasted with staccato, where notes are played sharply and stop ringing well before the next is played. Normal playing falls in between, though generally more towards the legato side.
This is just a matter of practice to get the feel and timing right. Experiment!
The puzzle connected with the legato slur is "fingering": use different fingers for each pairs of notes so that you could play them slightly overlapping. Theoretically, the notes should be tied seamlessly. But for many keyboard instruments it's more feasible to "hide" the key release action in the attack of the next note. For a piano, the timing is not overly sensitive since the key release action is pretty silent and does not interact with the attack.
For an organ or harmonium or accordion, however, a slightly early release results in a slight buildup of pressure from the continued movement of the bellows giving the next note an onset accent inappropriate for legato but making leggiero play more poignant.
I am not overly versed with piano keyboards but would imagine that a fingering of 1-4 alternating with 2-3 would allow the kind of "parallel walk" allowing to play this phrase with a slight overlap.
The simplest way to play this legato on piano is to use all digits - 3 and 5 on the E and G;2 and 4 on D and F#; 1 and 3 on C# and E. Thumb on a black note is acceptable. This way, it plays smoothly, and there's no need to jump from any note .
OK, my old piano teacher would hit me with a ruler for saying this, but the "legato" is most idiomatically achieved here with the sustain pedal. Look at the left hand part: it is simply arpeggiating a D-major chord. So you "catch" the low D with the pedal, and then sustain it as you jump the left hand up to catch the rest of the notes. The slur here is a pedal marking in disguise.
