First, create your icon. It must be small: 16x16 pixels and save it as a windows icon (.ico) file. Then either:
1) Save it as favicon.ico in the root of your website and it will be used when your site is added to the favourites list.
2) Add the following to your website code:
<link rel="SHORTCUT ICON" href="~/your_directory/your_logo.ico">
In this case is does not need a specific name.
[edit]Oops! "~" in the wrong place - Sorry! -- OriginalGriff[/edit]