I'm not sure what's the control name, but I need something like this (see image):
and I have no idea about how to develop it. On emulator (I got this throw hierarchical view perspective) is called SlidingTab.
Any idea how to start building it? There is something already built I can use?
SlidingTab didn't make it in to the public View api's so you have to grab yourself a copy of the SlidingTab.java file from the project source code. And include it in with your application.
Implementing it is fairly straightforward once you get it in to your project. Here is a javadoc
Edit everything came from the SDK inside the folder for whichever platform you want. data/res/ you can find all of the system drawables. I got the mdpi and hdpi ones out of there a while back, here is a zip with those ones to get you started.
http://dl.dropbox.com/u/5724095/Android%20Apps/SlidingTagRes.zip