How do you give your web site that little Icon when the site is placed in your favorites?

Thanks

Stick an .ico file in the root directory of your site. Done.

http://favicon.htmlkit.com/favicon/

http://www.favicon.cc/

Just a couple places that you can have them created right online. If you google the word favicon you'll find lots of sites that do this for you and all you need is a decent image to create it from.