Hi Zodd
As Simon has suggested do a web search on
favicon.ico and you will find many pages with information on this.
Some samples.
http://www.theallineed.com/webmasters/favicon_ico.htm
http://www.webookmark.com/favicon.jsp
http://home.san.rr.com/a1html/faviconinfo.html
http://www.jamesshuggins.com/h/web1/favicon.htm
But it does not seem to work too well in IE 6. anymore. But when I use Firefox
http://www.firefox.com/
my favicon.ico file works great.