If you have access to the root of your web site, simply save your icon file as "favicon.ico" there. For example, if your web site is "www.dotnetspider.com", your icon file should be available at "www.dotnetspider.com/favicon.ico". The web browser will look for favicon.ico whenever your site is added to the favorites list and if it is found at the root of your web site, the icon will appear next to the link to your site.
If you don't have access to the root of your web site, you have to add the following tag to your web page so that the browser will know where to look for your icon. Unlike before, this time you can save the icon under any name ending with ".ico" We'll use the name "logo.ico" and assume that your web site is under the directory "~icon".
<LINK REL="SHORTCUT ICON"
this tag should be inserted in-between the HEAD tags.
By the way, you can specify multiple logos for multiple pages using the second method. Simply save your icons using unique names, such as logo1.ico, logo2.ico, logo3.ico for example, and replace "logo.ico" in the above HTML code with the name of the icon you want to use for any particular page.
Thanks & Regards