That is a favicon icon.
What is a favicon?
Favicon (pronounced fav-eye-con) is short for 'Favorites Icon.' A Favicon is a multi-resolution image included on nearly all professional developed sites. Within Internet Explorer the Favicon is displayed on the Address line and in the Favorites menu. The Favicon allows the webmaster to further promote their site, and to create a more customized appearance within a visitor's browser. Often, the Favicon reflects the look and feel of the web site or the organization's logo.
Use this link here
to build one.