I was wondering how you create favicons? what software do you need? I thought it would just be a case of creating the right GIF and attaching it. But they have a .ico extension which threw me.
I was also going to ask what HTML attaches a Favicon to an 'add to favourites' action, but i just looked at the source for this page and there it was staring at me. :) Hope you don't think it cheeky to use your code.
limbo, when you create a favicon you should make sure that yours contains a 16x16 pixel favicon for browser use and a 32x32 pixel version for use as a desktop shortcut. The larger ones always look better but they don't get as much exposure unfortunately :(.