Stick the following code in the header of your page ...
Code:
<link rel="shortcut icon" href="/path/to/favicon.ico" />
Then create your icon (16x16 pixels, methinks) and convert it to ".ico" format (Graphic Converter does that, IIRC), and upload it to your server.
P.S. If you name your file "favicon.ico" and put it in the root directory of your server it'll be recognized automatically by most browsers.