Here is the code if you want to add an icon at the top of the page in the address bar. It was surprisingly easy and it kind of makes the page look more professional. The official name for them is fav-icons.

1. Create your image at 16 x 16 pixels, and make sure it's an ico file, which can be created in Photoshop. If your Photoshop doesn't have the ICO plugin, you can download it for free from here.
2. Write the following code into your head tag:
<link rel="icon" href="nameofyouricon.ico" type="image/x-icon"/>
For compatibility with Internet Explorer, type the following, right underneath:
<link rel="shortcut icon" href="nameofyouricon.ico" type="image/x-icon"/>

That's it!

Source:
Book: Visual Quickstart Guide: HTML, XHTML & CSS, 6th Edition by Elizabeth Castro, 2007.