They call it a Read Receipt. It's part of the RFC standard for email, and falls under what are called DSNs (Delivery Status Notifications). These also include Delivery Receipts (a notification that your message was delivered to the recipients mailbox) and Non-Delivery Receipts (NDRs), otherwise known as a bounce notification.
Most email programs allow you to request Delivery and/or Read receipts when you send an email, but that's no guarantee the recipient's mail server or mail client will honor the request and send it.
On a related note, some people think it's great fun to find somone's computer unlocked at work and use it to send an email to "Everyone", and request delivery and read receipts. They immediately get spammed with delivery receipts, and they'll be getting read receipts for days.