That's called a favicon. A Google search for favicon should give you lots of results for generators and instructions.
The title bar title and the tab's title still did not change with Favicon Any other suggestions. Here is a screen shot in the attached document.
You will need to go to the web page that is being pulled up. Base off your screenshot try looking for a file called "Winhostdefault.htm". Open it with notepad or some text editor. At the top look for the html tag <title> </title> And change the title placed in between the tags. Try looking at this link to get a little more information on the basic html tags. http://www.w3schools.com/html/default.asp