Create a 16 x 16 icon. Name it "favicon.ico". Place it in your root folder.
Note that the icon is only downloaded the first time a user visits your web page. Thus, if you cannot test view the icon initially after placing it...then clear your browser cache and try again...it will work.
Note that you can also embed a 32 x 32 icon in the same file as the 16 x 16 for clearer decktop shortcuts and favorites.