As Tina said it is called a favicon and is added using:
<link rel="shortcut icon" href="http://forum.by-expression.com/favicon.ico" type="image/x-icon" />
In order to show up in all browsers it must be named favicon and should be in the root of the website (that's what the / does, makes the file path root relative no matter where in your site the callig page is located it will always look in the root folder for the icon file.)
IE, Mozilla based browsers such as Firefox and Netscape, Opera, Safari and every other modern browser I know of supports favicons.
Cheryl D Wise MS MVP Expression Instructor: starttoweb.com