Add one of those icons to your site which in broswers like firefox appear on the tab. For example on this site there is a small blue cup icon.
It may be really simple but I've tried searching the web but can't find anything.
Thanks.
A 16x16px, 256 colour image, converted to, and saved as 'favicon.ico', placed in the root directory of your server will do it. For example: http://www.adventuregamestudio.co.uk/favicon.ico. You'll need to a program which lets you save as icon, such as this one (http://www.irfanview.com/) too.
cheers :)