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From their site: The Alexa Site Thumbnail web service provides developers with programmatic access to thumbnail images for the home pages of web sites. It offers access to Alexa's large and growing collection of images, gathered from its comprehensive web crawl. This web service enables developers to enhance web sites, search results, web directories, blog entries, and other web real estate with Alexa thumbnail images. Including web site thumbnails improves user experience by allowing end users to preview sites before clicking on the thumbnail's associated link. '
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There are no source code libraries or how-to links for Alexa Site Thumbnail. If you know one why not add it?
Alexa's search page results use the Alexa Site Thumbnail service.
see here: www.alexa.com