You need to create an icon (a special version of a bitmap image) and save it with the filename "favicon.ico".
Place this file in the root directory of your Web site.
Some browsers will only show this icon when the user has bookmarked your Web site or has saved one of your Web pages to their hard disk. This is the case with IE5 and 6, though it's not a consistent bug.
Sometimes the user needs to force a refresh of your Web site (SHIFT key + click REFRESH). Some people suggest rebooting your PC to make the icon show up, but in my experience this doesn't work.
Hope this helps,
May