Welcome to Librarium Online!
Sort of a newb question I suppose, and I'm not really sure where to ask it, so I figured I'd just ask it here.
Where can one go to make their own Avatar like that?
If you're talking about the space marine/chaos avatars, those are called "Living Avatars." If you check your User CP you'll see you can edit your avatar, and choose "living avatar." The rest is pretty self-explanatory, I think.
You can read more about living avatars in the announcements.
Ah. Thank you very much.