A favicon (short for favorites icon), is also known as a shortcut icon, bookmark icon, URL icon, or a website icon. This tutorial will teach you how to make your own favicon.
A favicon is simply a 16 x 16 or 32 x 32 pixel square icon associated with a particular website or webpage. It is usually displayed to the left of the website URL in the browser address bar.
You need to start with a square image. When you have the image you want, name it favicon.ico. Now you need to use an FTP client and upload it to your document root directory. This is important, so if you don't know what your document root directory is, ask your hosting provider.
Now just add a little html code to your web pages so the the favicon will show up! It goes in the head section, and looks like this...
This can be before or after the title tags. Click on save, and now you have a favicon of your own!