Connect to your server and upload your Favicon.ico file to your website. You must place it into the same directory as your home (index) page, and leave it loose, making sure not to put it in an images directory or other folder. The standard location is the “root” folder of your site, which is same directory as your home (index) page, not inside an images directory or other folder. If you put it there (and name it favicon.ico), most browsers will find it automatically.
Some browsers will look for a direct link in the HTML source code to your site's favicon.ico file. You can help these browsers by adding this link in the head section of each page on which you want the Favicon.ico to appear.
Here is the link code to include:
Once you've added this code, upload all of your modified pages.
<link rel="Shortcut Icon" href="/favicon.ico">
(Some people suggest that the following is actually more correct:
You can use both if you want!)
<link rel="icon" href="/favicon.ico" type="image/x-icon">
If you want to use a GIF or PNG instead, use this format instead (just remember that it won’t work in IE):
<link rel="icon" href="/favicon.png" type="image/png">
Details: Favicon - How To Create A Favicon.ico | PhotoshopSupport.com
<link rel="icon" href="/favicon.gif" type="image/gif">