Adding a custom icon (so when a person bookmarks they see not the default IE icon but your own custom one) is really pretty simple.
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You need to make a 16 pixel x 16 pixel image of what you want in a image creation program (I use Photoshop but you can even use MS Paint).
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Save it as a .gif image called favicon.gif
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Go to http://www.chami.com/html-kit/services/favicon/ and convert it to a .ico image.
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Upload to your site
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Add a bit of code to your page(s) to make sure the .ico is getting used properly. It should go between the tags.
You can also make a favicon online… http://www.imageauthor.com