The icon which appears in your browser tab or navigation bar on your site is called the favicon. You can edit this image by uploading your favicon.ico to the root of your template folder (../templates/YourTemplate/favicon.ico), replacing the existing favicon.ico if it already exists.
To create a favicon.ico you can use an online favicon.ico generator like http://www.favicon.cc/
Note: Because of the way the favicon.ico is cached on your browser it is unlikely you will notice your new favicon.ico straight away on your browser. Simply clearing your browser cache by default will not clear the favicons stored. To test your best option is often to open your site in another browser.