You may wonder how somebody website has a little icon on the url address. It is called a favicon. To add a new favicon to your site is actually pretty easy, what you need is an icon with a size of 16 pixels x 16 pixels. Note this icon file must be saved in .ico extension.
If you have a photoshop software or program installed in your computer, you can download the plugin from this website:
http://www.telegraphics.com.au/svn/icoformat/trunk/dist/README.html
Or alternatively, you can use this online tool that will help you converted your small image to icon file.
http://tools.dynamicdrive.com/favicon/
Once your favicon.ico has been completed created, to link to your website, you just need to add the following style css. Note: make sure your favicon.ico path is correct.
<link rel="icon" href="favicon.ico"/>