They are called Favicon's:
http://www.favicon.com/ That site sells services on creating favicons but there is also information on how to create your own there as well.
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Read this if you want to know how to get a correct reply for your question:
http://www.catb.org/~esr/faqs/smart-questions.html
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.: Wrox Technical Editor :.
Wrox Books 24 x 7
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