So you've got your self a shiny new web site, and now you want an icon for it? Just create a graphic sized 16×16, and save it as an ICO file. What? Photoshop doesn't save .ico files? Well, I found a few other softwares which didn't work well for my needs, before I came uppon this one:
Once you install the file type for Photoshop, you'll need to restart it and save the file as favicon.ico and then place it in your root (main) folder, so it can be accessed at the lowest level ( www.yoursite.com/favicon.ico ). That's it! Now your icon should show up in browser tabs, in the URL bar, and in favorites.