Favicons are an easy way to make your site stand out from the rest.
In the old days, a favicon would only show up in the browser window when you bookmarked a page. Then it would it be displayed instead of the standard Internet Explorer icon on your favorites list, making it easier to see sites with favicons among all the others.
Now I think most browser will automatically use your favicon. They show up all over.
Look for my little cow favicon. Hopefully you will be able to see it easily. Don't worry, if you don't have one your visitors won't get an error message or anything, it's just a plus if you have one.
So how do you make one? It's really pretty easy if you have graphics software. Just make a 32 x 32 pixel image of your logo or any other image you want. Don't make it too complicated because the image you end up with is pretty small.
You will need to save the image as a bitmap. You can't just save a bitmap as an ico file, you have to convert it into an authentic icon format. If you do a search you can now find all kinds of favicon generators. Here is one I use. It will make you a cute little 16 x16 pixel icon.
After you have created your masterpiece you will need to name it favicon.ico and publish it to the root directory of your site. This is most likely where your default page is. Make sure you upload it in binary format, just like any other image.
That's it. No other html is needed. Maybe it's no big deal, or maybe it's a great branding opportunity. I think it provides a fun way to be creative.