Put this in the <head> of your html pages:Originally Posted by Baloki
<link rel="shortcut icon" href="/favicon.ico" type="image/x-icon" />
There is also a way to send it in the http headers for a page...but I can't find the reference for that at the moment.
EDIT: It turns out that a lot of large sites such as slashdot are just linking to the favicon.ico with the above html tag, so I'm sure that way works as well as any.