By "page", do you mean an admin page, like it has you create here? If so, you'd set that in Modules > Custom Module > User interface > Alternative form name.
If you mean a page in the live site's tree structure, that's a good question. Under the Web Parts app, there is a section called UI Webparts, which isn't listed when you try to add a web part to a page. I don't see any options on the zone, or bindings which assign it to a site. You have me curious.