As Jaress said its called Favicon, you just need to make a perfectly square image such as a (100x100px) just upload into this generator by clicking the 'browse button' and finding your image.

http://www.favicongenerator.com/

And it will shrink it into a 16x16 icon file which you can upload to your server via FTP, usually it shows up on all your pages automatically, but sometimes it does'nt (don't ask why!)

- If it doesn't which is unlikely simply type this into all your pages:

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