First, you have to create a logo for your site; a very tiny logo to be specific. The size of the logo should be 16x16 pixels and it should be saved as a Windows icon file (logo.ico for example).
Once you have an icon file with your logo, you're ready to take the final step. Following methods will work in Explorer 5.x and higher without having any negative effects on other browsers.
Method 1
This is the easiest method to implement and it will work regardless of the particular page on your site users choose to add to their favorites list. Don't worry if you don't have access to your web site root; take a look at the next method.
If you have access to the root of your web site, simply save your icon file as "favicon.ico" there. For example, if your web site is "www.parham942.com", your icon file should be available at "www.parham942.com/favicon.ico". The web browser will look for favicon.ico whenever your site is added to the favorites list and if it is found at the root of your web site, the icon will appear next to the link to your site.
Method 2
If you don't have access to the root of your web site, you have to add the following tag to your web page so that the browser will know where to look for your icon. Unlike before, this time you can save the icon under any name ending with ".ico" We'll use the name "logo.ico" and assume that your web site is under the directory "~your_directory".
HREF="/~your_directory/logo.ico">
Above tag should be inserted in-between the
and tags.
By the way, you can specify multiple logos for multiple pages using the second method. Simply save your icons using unique names, such as logo1.ico, logo2.ico, logo3.ico for example, and replace "logo.ico" in the above HTML code with the name of the icon you want to use for any particular page.
If you mean the little one it's a file that the web browser will automatically search for, it's a file on your web server itself. The file is called FavIcon.ico.
If you go here ( http://www.chami.com/html-kit/services/favicon/ ) and you can upload an image and then put that image on the root directory of your website, right by the index page.