Add Favicon.Ico to Your Website

To create a favicon.ico please go to the relevant how to, this is more about adding it to your website

Steps

To Create a favicon.ico on your computer you will need a photo editing software such as Adobe Photoshop, Adobe Fireworks, illustrator etc. [new document ->size:16px x 16px -> Create something simple that best describes your site -> save as: favicon.ico (name.extension)]
When you have your favicon.ico you'll need to upload it to the root folder of your site. (The same place as your index.htm file in the website's hosting server.) Then choose your index.htm file and right click Edit and insert the following code to the section of your index.htm
<link rel="shortcut icon" href="http://www.exemple.com/favicon.ico" type="image/icon"> <link rel="icon" href="http://www.exemple.com/favicon.ico" type="image/icon">
Click save and log out from your host. (Some old versions of Internet Explorer don't understand one of the code lines so it's best to put both of them.)
If you only put the code on your index.htm file (home page), than that is the only page where the favicon (favorites icon) will appear. If you want it to appear on every page of your website you'll have to put the code on every page. (To do that, repeat steps 2-4 for every page.htm of your site.)
Generally, it takes 1-2 days to appear on your site. [The browser's bots (robots, spiders, crawlers) take time to find, cache and index it]

Don't make your favicon too hard to read or understand, it is your logo/business card for the online community; make it nice and simple.
It is sometimes better to create a favicon on a 32px x 32px canvas and than re-size the image to 16px x 16px (the only size that works as a favicon) for a better resolution