The Collaborative International Dictionary of English v.0.48:

'Etude \['E]`tude"\ ([asl]`t[.u]d"), n. [F. See Study.]
   1. A composition in the fine arts which is intended, or may
      serve, for a study.
      [1913 Webster]

   2. (Mus.) A study; an exercise; a piece for practice of some
      special point of technical execution.
      [1913 Webster]

WordNet (r) 3.0 (2006):

etude
    n 1: a short composition for a solo instrument; intended as an
         exercise or to demonstrate technical virtuosity