It's called a favicon.
Here, let me explain it in more detail: you can create a favicon by using almost any image editor or free website service (favicon.com, for example). If you make your own, keep in mind that the picture you use has to be 16 x 16, only use 16 different colors, and have a file extension of .ico.
To use this file once you've made it, you should name it favicon.ico and either place it into your root directory or place the following code between the <head> tags like so:
[code]<HEAD>
<LINK REL="SHORTCUT ICON" HREF="http://www.domainname.com/folder/favicon.ico">
</HEAD>[/code]
Keep in mind that if you use the latter method, you'll have to put the code on each and every page (unless you supercede it with java script, I believe).
If you want to check out other people's favicons (like the soldat forums one), just type in the domain name followed by a slash and favicon.ico (if they've used the first method) or look through the source code for a portion of the code that I provided above (if they used the second method).
The Soldat Forums icon, for example, used the first method -- the .ico file is directly in the root folder negating the need to place that code on every page (you could search for it just to be sure, but I guarantee that it isn't there).
http://www.soldatforums.com/favicon.ico =
[IMAGE] ![[IMAGE]](http://ghost.frac.dk/icon.PNG){kind=link}