Cool Icon beside Link

How do you web gurus add the cool icons beside the website title? For example, the VAF forums website has a cool icon of an airplane beside the link.

It's called a favicon.ico file

Do a google search for favicon.ico and you'll get the trick. It's not totally straightforward, but it's been a while since I did mine, so perhaps it's getting easier. There are lots of pre-made icons you can use easily.