How to add shortcut icon

I am not so sure how to name it. just call it shortcut icon, what is shortcut icon?
The icon in front of the URL at address bar

If adding this site to your bookmarks, you also see the icon shown in the bookmark list with the site name.

<link rel="shortcut icon" href="images/favicon.ico" type="image/x-icon"/>

take the site http://wangxiangblog.blogspot.com as example,
 <link href='http://www.blogger.com/favicon.ico' rel='icon' type='image/vnd.microsoft.icon'/>