There are a mess of threads here regarding hot pixels, stuck pixels, and dead pixels. Looks like the one above is a hot pixel. You can check by taking a picture in a pitch black room, or if you're lazy and gentle (like me), just lightly press the lens cap over the lens and take a shot.
Nabil-A, you're right, it's an inherent problem in sensors. You can generally assume that every sensor will have defective pixels, even when brand new. In new cameras, they are generally mapped out by the manufacturer before shipping, stored in non-volatile memory of some sort, and then compensated for by the camera (it uses interpolation from surrounding pixels to populate the defective pixel). As the camera ages, more may develop. The warmer the sensor is, and the longer the exposure is, the more obvious these defects will be. If you're not seeing them in exposures shorter than 1/4 second, I wouldn't worry too much, unless you mostly shoot that speed or slower.
There's a tiny utility you can use to process an image and see what kind of defects you have:
http://www.starzen.com/imaging/deadpixeltest.htm
But read the warnings for your peace of mind--you're probably going to find defects, and that's not necessarily bad.
If your camera is under warranty, you can send it in if you wish--definitely check out some of the threads here for other folks' experience with that.
It's also possible to automate the correction of those pixels when you've mapped out their location.