A favicon is a small, 16x16 image that is shown inside the browser's location bar and bookmark menu when your site is called up. It is a good way to brand your site and increase it's prominence in your visitor's bookmark menu.

Dynamic Drive has a great tool that allows you to transform any image to a favicon.

You can access the tool here: FavIcon Maker

All you then have to do, is place the favicon.ico file under the top level directory of your website and viola - an icon will show up for your website.

I have always loved the interesting favicons that I see when I visit certain sites. I came across FavIcon a few months ago and have been happily making favicons for all my sites. Quick and easy...