Molinksi/derren
a favicon is the icon that is used against the entry from the Favorites menu, and also on the Address Bar. Having a distinctive icon listed by the side of your page in someone's favourites will make your page stand out, hence the chances of being re-visited are greater. This feature is supported by many browsers, including Internet Explorer 5.0 and above, Netscape 4.5 and above, and Konqueror. (Linux)
Creating a favicon.ico Icon
To create the icon, you will need to use an icon editor. If you don't have an icon editor, you can use a free one from Favicon.com. The icon should be 16 x 16 pixels, and in a 16 colour palette. The icon should be placed in each directory that holds your pages that may be bookmarked. The icon must be called, favicon.ico. An alternative method is to use a reverse link in the head of your HTML document to specify the location of the icon. Using this option allows you to specify an alternative name for the icon, instead of favicon.ico.
Enter this code right under the <HEAD> tag on Your Sites Page's
<LINKREL="SHORTCUT ICON" HREF="favicon.ico">
For more info check out...