It's called a "favicon", and I believe it involves putting an image file of specific dimensions and format in the root directory of your website.
A Google search of "favicon" will be bound to turn up more information, like the specific format and dimensions.
Ya'know how on some sites, in the address bar, there's a little picture/icon to the left of the address? How do I do that? I've created my web pages in Word, but I know how to edit in Notepad. It's gotta be a pointer to a picture, so how/where do I insert it?
Thanks,
Wayne

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic