You can use shortcut icons to display your logo or some other small graphic on the Windows Internet Explorer Favorites menu, address bar, and starting with Internet Explorer 7 page tabs. They have no special Web server requirements and are a great way to add brand recognition to your Web site. The following screen shot shows a shortcut icon for MSN.com on the Favourites menu, the address bar, and a page tab.
First you have to select correct size and format icon to show on address bar. Then add the <link> tag to your design code at <head> tag which looks like as follows:
<head id="Head1" runat="server">
<link rel="shortcut icon" href="Images/FavIcon.ico" type="image/gif" />
Hope it Helps!