You need to generate a "favicon.ico" file - a 16x16 image of your desired graphic - and add a line of HTML to the <head> section of your coding. Search Adobe for more information.
Also, there are a number of web sites that will generate the necessary file for you for free and give you the HTML code to copy and paste, eg. http://tools.dynamicdrive.com/favicon and www.favicon.co.uk. Note that you can have fun and games getting different browsers to load or reload the favicon if you change design - some require a cache clearance, others don't. Good luck.
Thanks alot! I will give it a try!