How do you set one? I recently started HTML again and way back when I learned those didn't exist. What's the code for these?

This is called favicon and it is add through link declaration of head section inside html document. To add one just do as follows

<html>
<head>
<title>Page Title</title>
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
</head>
//Rest of the page code

If you do not have suitable icon you can generate free one for example here at www.favicon.co.uk

To add one just do as follows

<html>
<head>
<title>Page Title</title>
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
</head>
//Rest of the page code

end quote.

I have just tried that code ...but i can't seen that icon on my address bar...
Please help me...

Make sure the pic is a .ico file.

The site posted above converts images into .ico.

ya i got my image from that site only...