That is called a "favorite icon" or "favicon". It is a special little graphic image that is something like 16px by 16px, and you place it on your site with a link before the </head> tag.
Some hosts (the 'free hosts') won't let you place an 'favicon' on your site because it violate some idea of you 'promoting your site'. They permit if you BUY a hosting, but the FREE ones won't let you. (e.g., geocities, yahoo, etc).
There is a program I think on either DynamicDrive or MajorGeeks that helps you create a favicon. Basically, it's a gif file but has the extention of ico after it.
It is fairly easy to do. I created several sites that wanted this, ans since the site was on a pay-for-hosting site, the favicon was permitted.
They're kewl because not only to they 'brand' your site, but when you/anyone bookmarks your site, they get the same little favicon along with the name of the bookmark! -Very neat!
Do a Search on Google for 'favicon maker' or something similar...