Hi
Its called a favicon. it is a 16 x 16px image. You can create it in photoshop, save as .ICO format (may need to download plug-in for this) and upload to your root directory.
In photoshop, open new file 64x64 pixels (easier to design bigger). Design your favicon. Be aware that you will be resizing to 25%, so designing for this format may require some trial and error. Once design is done. Go image>image size> 25% and select bicubic sharper. Now go to Save As (you will have installed your ICO plugin already, dont have link, but google will find it) > save as favicon.ICO Always use that filename for all different favicons you design. Upload favicon.ICO to public_html or similar. In the HTML of your index page add the following inside your <head> tag.
<link rel="icon" href="favicon.ico" type="image/x-icon">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
upload your page. You should only need to add this to your index.html page and the other pages will catch on. May require a few ctrl f5 's or restarts of browser before it picks up the new favicon.
good luck
