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The icon that appears in your browser tab or navigation bar is called a favicon (favorites icon). In the root folder of the template is a file called favicon.ico. You just need to replace this with your own. You can make your own at Dynamic Drive. Just create a 16 x 16 image, upload and the tool will create the icon for you to download. Then replace it on your site.
Favicons are notoriously hard to see right away because of the way they are cached. If you don't see it right away, don't worry. It will show up eventually. An easy way to make sure it worked is to view the site in another browser.