The custom icons that appear with websites are set using a file called favicon.ico. It is a 16×16 or 32×32 icon file that is loaded to the root of your website. More info here…
http://msdn.microsoft.com/en-us/library/ms537656(VS.85).aspx
http://www.w3.org/2005/10/howto-favicon
Icon editing freeware here…