These are custom images you can use to represent games in your Steam library (including non-Steam shortcuts). They will be visible in “Grid View” and “Big Picture Mode”.
To install an image, switch your Library to “Grid View”. Then right-click on the game and select “Set Custom Image” from the pop-up menu. Select the image on your hard drive and poof, customized! If you want to remove the image, right click on the game and select “Remove Custom Image”. This will return the game to the original default image.
You can find more detailed information about using and making custom images in my blog on Destructoid.