This is very very simply to add and makes your site look more professional.
1) You need to create an image in MS Paint or a good graphics program. You could try: Paint.NET
2) The size needs to be 16*16 and for transparency create it as a PNG. You should also zoom in a lot when creating it, otherwise it will be too hard to edit.
3) Use a free online converter like http://www.convertico.com or http://www.html-kit.com/favicon/ to convert it to .ICO format
4) Save as "favicon.ico" & place your icon in your image folder
5) Add the following to your master page or web pages
<link rel="shortcut icon" href="images/favicon.ico" />
in-between your <head>...</head>
Enjoy your URL Icon in the address bar, I know i do!! 
01c190ba-5155-488c-93b0-b1191ee0482a|2|4.0