What is a Favicon?
Favicon (pronounced fav-eye-con) is short for 'Favorites Icon'. This is
the little icon associated with the URLs in your Favorites menu. You have
probably noticed several companies have made custom Favicons that make
them stand out. In fact, if you bookmark this page, you will notice the
"FL" Icon become part of your favorites menu and the address box icon.
These Favicons will typically only be seen in Internet Explorer Browser
5.0 or greater.

FrontLook Favicon in the Address Bar and Favorites menu
How can I create a Favicon?
There are several ways to acquire a Favicon; several sites provide an
online editor (favicon.co.uk),
a software tool to make icons (cursorarts.com),
you can acquire a pre-made favicon (clickfire.com)
or have a custom Favicon designed just for your site (favicon.com).
A favicon should be 16 X 16 pixels with 16 colors and the file name should
be favicon.ico.
Installing a favicon on your website
Once the icon is complete, upload the file, favicon.ico to the root web
directory of your hosted website. Make sure your favicon file is named "favicon.ico."
When someone bookmarks your site with a browser that supports favicons,
your favicon will appear. There are way to associate a Favicons with a
particular page, see the favicon.com web site for more info on this topic.
And That's It
Its easy to make a favicon to make your bookmark standout!