You can customize the drawing yourself by defining the on:draw() event of your dialog box.
This is the case in ZSDX. If you are using the dialog box from ZSDX, then dialogs have an optional property "icon", which is a number referring to a 16x16 icon in the image "sprites/hud/dialog_icons.png". When this property is set, the corresponding icon is displayed on the left of the dialog box.
If you are using the dialog box from the tutorial, or another one, there is nothing to draw additional images or sprite, so you have to do some work yourself in the on:draw() event.