How do I write a salary expectation?

[Thrillhouse15]

I'm thinking about applying for a job, and in the position description it asks "resumes with a cover letter including salary expectations." I've done a salary history before, but I'm pretty sure this is something different. What exactly are they looking for in a salary expectation? Should I actually give them a range of salary I'd like, or just say that I expect to be paid market rate for my profession?

And where do I put this salary expectation? In the coverletter, or on a separate sheet of paper.