Check out this favorites icon maker. All you have to do is just to upload an image which you want it to appear as your favorite icon. Add a line of html to the header of all your html files.
<link rel="shortcut icon" href="http://blog.enrii.com/favicon.ico" />
If you haven't notice, I've just added a favicon to this blog.
If my article helped you solved your problem, consider buy me a beer!