Photoshop Create a Favicon
www.pixelforlife.com
For saving a .ico file, you are going to need this Photoshop plugin:
http://www.telegraphics.com.au/sw/
Or, you can upload a normal image file to:
http://www.favicon.cc/
And see what it looks like, then save it as .ico .
I am sorry about the ending, where my favicon doesn't work, my browsers were acting up.
REMEMBER: If your browser doesn't show the favicon right away, please give it a few minutes.. Even try it in a different browser.