It's call "favorites icon" or favicon, is a small .ico file go with your webpages, include this line in your webpages, it will appear on your browser
<link rel="shortcut icon" href="favicon.ico" />
you can use photoshop to create the ico file, but you need to download the plugin in order to open/save the windows icon(ico) file format file.
(telegraphics.com.au/sw/)Telegraphics
If you need to know more details on how to create the ico file, you can go to (photoshopsupport.com/tutorials/jennifer/favicon.html)How To Create A Favicon.ico