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I believe its called a favicon. I think all you need to do is place a file called favicon.ico in the same directory as the page you want it to show up on. http://www.favicon.com/ will tell you more.
I usually don't do this, as I try to be helpful. But in my defense it is semi-helpful A search using "URL icon" (using favicon would be unfair since you wouldn't know to search for it) reveals: