If you mean the icon on the tab string in the browser, it's called a "favicon":
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="content-type" content="text/html; charset=windows-1250">
<meta name="generator" content="PSPad editor, www.pspad.com">
<title>My Title</title>
<link rel="SHORTCUT ICON" href="http://YourDomain/YourPath/YourIconFileName.ico" type="image/ico" />
<body>
My Body
</body>
</html>
You need the "link" tag from the above