What you are asking is on how to set the favicon.
More info here http://en.wikipedia.org/wiki/Favicon
Try this, in your site put the link in MasterPage:
<link rel="shortcut icon" type="image/x-icon" href="~/favicon.ico" />
Additionally, such icon files should be 16×16, 32×32, 48×48, or 64×64 pixels in size, and 8-bit, 24-bit, or 32-bit in color depth.