what a coincidence... just 20 mins ago I've made a favicon for my site.
start a 32x32 document in Photoshop (or whatever graphic software you're using), design the favicon then save it as .gif .
go to
www.irfanview.com , download the program (it's an image viewer) , install it and then load the gif file in irfanview and save it as .ico .
Upload the .ico in the same dir with index.html and put this line in index.html: <LINK REL="SHORTCUT ICON" HREF="/favicon.ico"> in your <head> </head> section (of course you can insert the icon in all your pages).
Good Luck
