What does an icon on the tag mean, for example the "rg" before the sql-server tag as pictured below?
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This is a sponsored tag — in other words, a company has decided to pay money to put an icon and to put links on the tag page. Moderators cannot edit these; they are only added as a result of a tag sponsorship.
The tag sponsorship program is currently active on Stack Overflow only.
As for the tag in the question, the tag was sponsored by Red Gate, whose logo is shown as part of the tag in your screenshot.
Note that as of Sept. 1, 2011, Stack Exchange no longer allows branding like this to be purchased for tags that represent generic concepts or are otherwise not strongly associated with the company purchasing them.
A tag that retains this branding is android — click through to see what this form of sponsorship entails.