The small icon before a URL is called "favicon". You need to create an image in the right size an put a line of code on each page you want it to be recognized with. Search the web for more detailed...
this will be the full link <a href="#" alt="">Home</a> The a stands for anchor. Href is hyperlink reference, so where you want the link to go. The alt text is whats displayed when someone...
w3schools is quite good it takes you through the basics of programming. When you go on to the site the right hand side says HTML examples, click on that and just follow the instructions.