favicon.ico in the main directory,a 16x16, 16 or 256 colour Microsoft icon file
Mozilla/Firefox and most other supported browsers will start displaying the favicon on the browser address bar, the very first time you visit a web page that has a favicon (specified using the favicon HTML tag).
The file doesn't *have* to be named favicon.ico but it does let you tie into the way some browsers automatically look for that file. you can specify a file of any filename.ico with the link ref:
< LINK REL="shortcut icon" HREF="http://site/directory/filename.ico" >
Internet Explorer browsers (as of version 6.x) associate favicons with bookmarks. So you must first bookmark the web page. The favicon will appear on the browser address bar and on the Favorites menu, the second time you visit the bookmarked page. If the favicon doesn't appear even after bookmarking and revisiting the web page, restarting the browser may help.
is an online tool for making any image into a FavIcon.