Web Favicons
You have found the way to Favicons on Web:
Favorites Icon - Explanation, and details of how to create and link a favicon.
How to Add a Favicon to your Site - Draft article from the W3C, giving details of how to associate an icon with a web page.
png2ico - Program to convert .PNG files to the Windows icon format. Instructions and downloads for different platforms.
Wikipedia: Favicon - Encyclopedia article about the icons, with sections on usage and standardization.
Wikipedia: ICO (Icon Image File Format) - Encyclopedia article providing an overview of the format. Help build the largest human-edited directory on the web.