you need to get some icon creation software and create yourself and icon that is 16x16 pixels (pretty small), some software allows you to import images and will resize it as best it can. Save the icon as favicon.ico and upload to your website root or the directory where your page is. Otherwise you can tell a browser where to find it by adding the following code to the HEAD part of your page:
Code:
<link rel="shortcut icon" href="/favicon.ico" type="image/x-icon" />
Modify the href= bit to point to wherever you file is. Then load your page in a browser to test!