That's called a favicon. http://www.chami.com/tips/internet/110599i.html tells how to do it.
Kees
I am currently using IE7 with Windows Vista Home Premium. I have been noticing some URL addresses of certain websites with private logos.
Can anyone tell me how this is done.
Thanks and regards

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic