Look at the icon of myself in the addressbar!.You can have a favicon for your site as well.Use thes sites to generate a favicon:
http://tools.dynamicdrive.com/favicon/ – Generate a favicon from an Image (I used this site to create my Favicon)
http://www.antifavicon.com/ – Generate favicon from text that you input (you can have custon color schemes).
Once you have generated the favicon download it and save it somewhere.(I saved it in the webspace provided by my ISP, as I can’t store files on Blogger) and then type this code between your < head > … < / head > tags –
<link rel="shortcut icon" href="URL of your favicon" />
add this code to your template so that the favicon is displayed in all the pages of your site or just to the page that you want the favicon to appear.
This site has a list of favicons of some popular sites, check it out.