Ourtuts.com had a post containing several resources for making a favicon. The one I liked the best, Favicon Generator, was easy to use and it could embed various sizes in the icon file; best of all, no need for a Photoshop plugin. I would recommended:
Once that is done, you need to place it in the root directory of your website and add this code to at least your home page.
<link rel="shortcut icon" type="image/x-icon" href="favicon.ico">
If you have previously bookmarked your website, you may have to take these steps to make the new icon appear.
A great resource is the Favicon Cheat Sheet.
Create your 16x16 and 32x32 icons in the favicon.ico file and place in the root directory.
Create a 152x152 pixel PNG-24 icon then use it as shown here:
<link rel="apple-touch-icon-precomposed" href="path/to/favicon-152.png">
<meta name="msapplication-TileColor" content="#FFFFFF">
<meta name="msapplication-TileImage" content="/path/to/favicon-144.png">
Replace #FFFFFF with your desired tile color.