This is not done in PHP. It's part of the <head> tags in a HTML page.
That icon is called a favicon. According to Wikipedia:
A favicon (short for favorites icon), also known as a shortcut icon, website icon, URL icon, or bookmark icon is a 16×16 or 32×32 pixel square icon associated with a particular website or webpage.
Adding it is easy. Just add an .ico image file that is either 16x16 pixels or 32x32 pixels. Then, in the web pages, add <link rel="shortcut icon" href="favicon.ico" type="image/x-icon"> to the <head> element.