Internet Explorer offers a unique feature called "favicon.ico". Basically, when people bookmark a site, they can see a custom icon for that site in their favorites list (instead of the default E icon) and visiting the site after bookmarking it shows that same customized icon in the location bar.

Getting a customized icon to appear on your site is easy. All you need to do is obtain a 16x16 16-color icon, name it "favicon.ico", and place it in D:\FTP\username\Htdocs. From then on, anyone that bookmarks your site will see that customized icon.

If you follow the instructions above, favicon.ico will only appear in Internet Explorer. If you want your icon to appear in other browsers, you will need to add the following code to your web pages:
<LINK REL="SHORTCUT ICON" HREF="favicon.ico">

Please note that getting a bitmap (.bmp) or GIF (.gif) file and renaming it with the .ico extension will NOT work. The file must be an icon-format file. You will need either an icon editor or an icon converter to create the file.

Please also note that the customized icon will only appear after someone bookmarks your page. There is no way to make the icon appear in IE until they have bookmarked it.