I'm not sure if you've seen them, but several websites have icons associated with their pages these days.
For example if you go to www.pvponline.com
you'll notice a small picture of skull next to the web address in the navigation bar (in ie7 or firefox anyway.)
I thought it would be a good addition to your site.
the code he uses seems to be as follows:
<!-- Favicon -->
<link rel="shortcut icon" type="image/ico" href="/images/global/favicon.ico" />
________Starcraft ii replays