Versions of Internet Explorer 5.0 and above, as well as other browsers, have a "feature" that allows a web designer to create an icon file and when a user bookmarks your web site, this icon becomes the icon in the user's Favorites/Bookmarks menu.
You can create an icon file using any icon editor. Once you have created an icon image that is 16x16 pixels in size, save it as "favicon.ico" and upload it to your web space. Now when a visitor bookmarks your site, if supported by their browser, this icon will appear in the user's Favorites/Bookmarks menu to help identify your web site.
If you do not have a favicon.ico file on your site, you may find a 404 (File Not Found) error in your web logs/stats when a visitor bookmarks your site and the browser cannot find the file. Also, some other browsers call and display the favicon.ico in the visitor's location bar, regardless of whether they bookmark your site or not.