I added a favicon to my site the other day. What is it? It is the little picture beside the web address for my page. It will even store that picture in your favourites/bookmarks.
This is all assuming you have a new enough browser.
How do you make one. It was simpler than I thought. All you need to do is place a file called favicon.ico in the base folder of your website. It should be the same place where your index.html or index.php page for your home page.
How do I make a favicon.ico file? I did it as a gif file format. Basically, I took a picture that I wanted to use. For mine, I had a picture of a sunset. I cropped the picture in Microsoft Paint (on every Windows computer) so that I had the picture I wanted and it was 16 X 16 in size. I saved the file. Then I renamed it as favicon.ico and uploaded it to my server.