I don't believe this is possible. The justification I have seen for it in the forums is to prevent applications from rewarding users who have bookmarked the app, or nagging users who haven't.
The closest you can get is to go to the settings of your application in the Developer app, and there is an option under Canvas -> Bookmark URL where you can specify the entry point of your app when a user clicks the bookmark. The URL defaults to your Canvas URL if it's not filled in.
You could theoretically add a parameter or change the location of the Bookmark URL in order to identify a user that clicked a bookmark. Obviously this isn't ideal, as you can't tell when a user removes a bookmark, and a user can still get into the app without clicking the bookmark.