it's called a 'favicon' and your standard XOOPS installation comes with one.
Here's a page that explains it and offers some tools for making one
http://www.lissaexplains.com/fun9.shtml
however, with IE they are not 'stable'...IE will usually display it once...and will add it to the link in your favorites...sometimes. Firefox however has no problem with these and displays them all the time.
If I'm not mistaken I believe that there is even some info about it in the FAQ section here at this site
Happy Xoopsing!