Are you referring to an icon within the URL address bar…
Basically you create an *.ico file 16x16 pixels in dimension with 4-bit colour, and add the following:
<link rel="shortcut icon" href="http://www.yoursite.com/youricon.ico" type="image/x-icon" />
If you are using a technically superior browser like Mozilla you also have the option of using:
<link rel="icon" href="http://www.yoursite.com/youricon.png" type="image/png">
Micro$oft has bugs regarding displaying the icon when cache is cleared.