First off I'm not familiar with that help file but I can say
how I think they do it. If you right click on a book in your TOC,
select Properties and go to the Advanced tab. There is an image
field there that can be used to specify one of 42 images files.
It may also be a custom icon strip they are using. Microsoft
being Microsoft they can afford to throw money to have lots of
customisation. Check out
for how to set these up.