+10  A: 

You need a favicon - this is a 16x16 image in .ico format stored as favicon.ico in the root directory your site. Some browsers do support other formats too.

A newer, more standards based approach is to include something like this in your html head:

<link rel="icon" type="image/png" href="/path/image.png"/>

See also this document from W3C: How to Add a Favicon to your Site

You might also want to refer to these other answers to the question:

Paul Dixon
A: 

See http://en.wikipedia.org/wiki/Favicon

Ferdinand Beyer
A: 

Are you talking about creating a Favicon?

If so, here's a site which will help you make one.

Dave Webb
+1  A: 

That image is called a favicon and here are some links on how to add one or you can just google "how to add a favicon" for more information.

http://www.w3.org/2005/10/howto-favicon

http://www.clickfire.com/favicon-tutorial

http://essentialkeystrokes.com/tutorial-how-to-create-your-own-favicon

Joe