I remember looking into this a while back. I think there are services that can help you do this, but maybe give this a try http://www.chami.com/tips/internet/110599I.html
Put this within the head of your HTML page: <link rel="shortcut icon" type="image/x-icon" href="../path/to/favicon.ico"> There are some considerations on the size and format of the icon image file; few browsers allow to use GIF and JPEG, most of them require a special format and a given size as well (.ico "Windows Icon format", 16*16 pixels or 32*32 pixels).
very helpful. is there a list somewhere of all the "link rel" types or other things that can be added to tweak the site a little?