they're called favicons (fav-eye-cons) and they are quite good to make websites stand out especially in your bookmarks/favourites folders
you need to have a program that can make icons which are 16x16 pixels and to link them to your site, you first need to upload your icon to your webspace and add this line of code to your HTML in the head tag:
<LINK REL="SHORTCUT ICON" HREF="http://yourpage.com/favicon.ico">
yourpage.com is the name of your page, and favicon.ico is the name
of the file, it is a good idea to call it favicon, as the browser will recognise
it as a favicon
I found a good free online icon maker here:
http://www.favicon.co.uk/
all you ever wnated to know about favicons here:
http://www.favicon.com/
hope this helps
ik
EDIT: free icon software: http://www.iconutils.com/iconomaker/