I don't know if this is configurable from the Admin area of DNN like the site logo. If it's not accessible, here is a way around it...
In the provided sample the default icon is at the path, /Icons/Sigma/Authentication_32X32_Standard.png
.
If you want to change it, you could replace that file with another image file that has the same name. That way, when the default location used, it will be retrieving your file.
One warning about using this technique. Since you are replacing files put there during installation (either of DNN itself or of a module), if you update, there is the risk that your file will be overwritten with the one provided by DNN or the module. Be careful during updates. If you start to do replace core components, make sure you keep a list of your customizations so you can check them after updating.