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Create a 16x16 logo / image
Name it as 'favicon.ico'
To add your new favicon.ico to a web page put it on the server into the same directory as the web page it is for (e.g. www.example.com/foo/favicon.ico for www.example.com/foo/index.html). That is the first place a browser will search. If it doesn't find an icon there, it checks the top-level directory of the server (www.example.com/favicon.ico for the http://wwwthe www.example.com serverdomain server), so by putting it there you can have a default favicon for all the pages in your domain.
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