You need favicon - this is a 16x16 image in .ico , saved as favicon.ico in the root directory of your site. Some browsers also support other formats.
A new, more standards-based approach is to include something like this in your html header:
<link rel="icon" type="image/png" href="/path/image.png"/>
See also this document from W3C: How to add an icon to your site
You can also refer to these other answers to the question:
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