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(IOW, unless you want to use different favicons for different sets of pages within your site, you shouldn't need to bother with this tag.)
Also, I note that the only programs MS & favicon.com mention for (.ico) creation are ones you must purchase. But there several good FREE programs that do a nice job of creating an icon or converting an existing graphic to the .ico format. The first one that comes to mind is "IrfanView", which you can download from any number of software sites.