The icon is just a file named “favicon.ico” that sits in the root of your website. It is standarized now so that all browsers will look there as the source.
However, you can also put the icon anywhere in your site, but you have to make sure you put the path in the link tag under your header tag.
<link rel=”SHORTCUT ICON” href=”http://www.us-eh.com/favicon.ico” />
To create the ico file, I use the free online tool by favicon.cc. I just upload a logo and then edit the 16×16 grid to get it looking clean. Download it and put it in the root and don’t forget to add the above tag to your header.