This is how you change the little icon when people view your site's URL in the address bar or when they view your site in the 'Favorites' section.

I chose a heart. Choose or make an icon that is 16 by 16 pixels in size. You need to make an image that is called "favicon.ico." If you go here you can upload your image and make it .ico.

Put this code in your index page's coding:
<link rel="shortcut icon" href="http://YOURSITEURL.com/favicon.ico">