A favicon is the icon shown inside the browser's location bar and bookmark. It is a cool way to brand your site.
Here is a short guide on how to create your own favicon for your website or blog.
1. Startup Gimp
2. Create a 16x16 pixel image.
3. Zoom the image to at least 200%. (View -> Zoom)
4. Create your icon. You can import any graphic as long as it fit into the 16x16 space.
5. Save as "favicon.ico".
Next upload to the web server.
1. Put the favicon.ico to the root directory of your server.
2. Verify the icon is uploaded successfully by by http://www.yoursite.com/favicon.ico.
3. Using Firefox to access your site again you will see the favicon immediately but may not be so if you are using IE. (Go ask Bill)
Well of course if you are lazy, then use of the those favicon generators like this one.