If I understand you correctly,what you see is made up of two parts.
The text Untitled Page (or p2p.wrox.com Forums) is part of the page's title. You add a title between <title> tags to the document's <head> section:
<title>Your title goes here</title>
You may need to switch to Design View in Dreamweaver to see this code.
The image you see is called a favicon, or favorites icon. More info on creating and using them can be found here: http://en.wikipedia.org/wiki/Favicon