It's the bracket that holds the shifter cables in place under the vehicle. it's located just forward of where the cables enter the cabin (a few inches forward of the ash tray), and is covered by the heat shield under the car. The bracket is held against the chassis with a metal clip that slid over a threaded stud. The metal clip can become loose, and when the cable moves (causing the clip to move as well), it will make a squeak or clicking noise.You need to put a nut on the stud to tighten everything up. Just pull down the heat sheild above the second cat and you'll see it.
There should be a docuemnt in one of the service procedures at the dealer, so if you still have warranty, then just bring it to the dealer.
edit: one more thing, it doesn't happen when you let off the gas because engine braking torques up the motor so the cable doesn't move. when you're on the gas (not WOT), the engine has some movement as it's not twisted against the engine mounts, which causes the cables to move.