You need to make your own icon file, which has to be 16 x 16 pixels and
saved as favicon.ico. You then upload it to the root directory, or in other
words to the same directory as you upload your index.htm and index_files
folder.

Here are a couple references:
http://www.webdevelopersjournal.com/articles/favicon.html

Irfanview is a freebie, and does save as a ico: http://www.irfanview.com/

And read this article:
http://msmvps.com/blogs/dbartosik/articles/80810.aspx

DavidF