To make your own favicon, first make a graphic 16x16 pixels in no more than 16 colors. Save it as a bmp.
You will then need a graphics program which can change a .bmp into an icon. I recommend Irfanview [I have provided Irfanview for your download convenience - don't worry it's freeware].
Use this program to change your .bmp image into an icon. Name it favicon.ico and then upload it to your server. You will then need to add the following code to the <head> tag of your html.
Example
<head>
<link rel="shortcut icon" href="http://www.yoursite.com/favicon.ico">
</head>
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