The class AlertDialog.Builderhas a method setIcon(int iconRes)or setIcon(Drawable icon)that you can use to do this.
EDIT:
, ImageSpan:
String src = "Here an icon: @ isn't it nice?";
SpannableString str = new SpannableString(src);
int index = str.indexOf("@");
str.setSpan(new ImageSpan(getResources().getDrawable(R.drawable.my_icon), index, index + 1, ImageSpan.ALIGN_BASELINE));
AlertDialog.Builder x = new AlertDialog.Builder(myContext);
x.setMessage(str);