I wrote about creating your own favicon using Photoshop a few weeks ago. Since then I found a very useful alternative from a website called Dynamic Drive; they host a free online favicon generator tool. All you need to do is upload a picture from your computer, and it will convert it to a .ICO extension. From there, you download the file, then upload it to your root folder. Lastly, you add the following code to the <head> section of your web page:
<link rel="shortcut icon" type="image/x-icon" href="/favicon.ico">
Easy as pie.