The icon must be 16x16 pixels. If you can place the icon in the server root directory, you should be able to call it favicon.ico and your work will be done. If you do not have access to the server root, or if you want a different icon for particular files, you need to include an appropriate link element in the head of each file; for example,
<link rel="shortcut icon" href="favicon.ico">
Internet Explorer requires the user to bookmark the page explicitly before it will show the icon. Netscape and Opera will associate the icon with the page even if it is not bookmarked, though it may take a while for the association to propagate throughout the interface.
Even the most powerful graphics editors do not support .ico files; so, you will need to use a specialized file converter or icon editor (of which there are many).