This is a free online utility for the generation of favicon.ico icons.
Select the colours you wish to use from the palette on the left and click on the squares you wish to be that colour. You can see what your finished icon will look like under the `result' heading.
Click on the download link to download your icon.
Place this icon (which must be named favicon.ico) in the same directory on your web server as your html files. This image should now appear in the url bar of visitors browsers and next to your sire in their favourites.