For another refutation of this charming story, try the Snopes page on myths and urban legends:

http://www.snopes.com/language/stories/brass.htm (this is not markup - cut and paste into your browser)

"Claim: "Brass monkeys" were small brass plates used to hold cannonballs on the decks of sailing ships.
Status: False. "

and goes on from there.

(complete with references!)