How can we changes the icon gifs in address bar of the browser like
http://www.cgi-resources.com/
can anyone tell me how to do this.

That's the favicon.ico

from a quick search on google
http://www.xoomhacker.com/favicon.html

http://www.favicon.com/

This is something called fovicon. Check out here:
http://www.favicon.com/

you may find some FAQ about favicon, free favicon library and tools to create favicon.


:)