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Are you talking about a favicon? You generate a favicon.ico icon of your choice, and then upload it to root directory of your website (where the site's main index file is stored).
 
If you have trouble with the favicon (or your host does) you can also add a link tag in the head of a page that points to an image.

PHP:
<link rel="shortcut icon" href="/myfavicon.png" type="image/x-icon" />
 
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