How to create favicons in 5 easy steps

Step 1: Create an icon using bradicon, and download it.

Step 2: Rename your icon to favicon.ico

Step 3: Upload favicon.ico to the base directory of your website. It should be viewable by you visiting http://www.mywebsite.com/favicon.ico

Step 4: Add this line to the head section of your html:
<link rel="shortcut icon" href="favicon.ico" type="image/vnd.microsoft.icon" />

Step 5: Save your html and upload it

Note: Sometimes browsers cache these things - so it might take a bit to show up.