Hi,
First you need to make your icon in Paint Shop Pro, Photoshop (or an icon editor program). Then save it in Photoshop in bitmap format. The default size is 32x32 pixels at 256 colors.
Next you need to convert it into an icon format. I use the program by Easy Apps called Icon Easel 98. You can download a free trial at
http://www.easyapps.com. Just use Edit -- Paste from File to import the image. Or you can create the icon from scratch within this program. When you save the image in this program it will be saved in the icon format (.ico).
Then upload the image to your website files on your hosting server.
Add the following code into the head section of your webpages.
link rel="shortcut icon" href="http://www.yourwebsite.com/YourIcon.ico"
Don's forget to add the left and right brackets on the sides of this code.
The icon will show when someone saves you webpage as a favorite.