First you have to create an image, preferably one of size 16x16. The papers say you need to convert it to .ico (window$ ico). It may pose a problem, tough, so head for
http://jdraw.sourceforge.net/, where you can find a program which is capable of creating .ico files (kiconedit was able to do it, but recent versions seem to be "upgraded", so they can't save .ico format).
My experience is that you can leave it in .png, because all linux-based browsers can handle it, and Explorer can't handle icons at all (see below).
Now there are two things you can do:
1. Copy the resulted image to the webroot, and name it favicon.ico. Most browsers will find it.
2. Add this tag to the document you want to have the icon:
<LINK REL="SHORTCUT ICON" HREF="/your_icon">
Mozilla and Opera seems to handle these pretty well. Konqueror caches the icons, and can be very stubborn. Internet explorer seems to ignore these icons and do not display them, neither png or ico images...
Anyway, if you happen to figure out how to get IE to handle these icons, let me know...