If you mean the icon that appear near to the URL

Its favicon.ico
convert the image that you want to make it ico using this site:

http://www.prodraw.net/favicon/index.php 

Select 16*16

Then replace it with the one came with the DNN site

http://www.prodraw.net/favicon/index.php is a good Favicon.ico generator.  Once Gerated you can overwrite the dnn favicon.ico or if you have multiple portals you can place it in the portal root.  Placing it in the portal root is better because when you upgrade your DNN instance you will overwrite your change.  Even a small thing like this goes to show you should not modify the core in anyway.