you mean in the address bar? if that is what you are talking about, download something like Icon Forge.. open up PhotoShop.. create you a simple but nice 100x100 image for your icon.. import that into Icon Forge, convert it to 16x16 and save it as favicon.ico..
upload that to the root of your site.. for instance..
http://www.yoursite.com/favicon.ico should bring the image up..
a lot of search engine spiders look for that file these days.. if you don't have it, you will notice a ton of 404 errors in your log refering to favicon.ico..