1) Download the ICO (Windows Icon) Format Plug-in from
2) Put the 'icoformat' file (or an alias) into the Photoshop Plug-Ins >FILE FORMATS folder
(relaunch Photoshop if it's already running)
3) Create a 16px X 16px graphic and save it as "favicon.ico"
4) Upload it to the root level of your web site.
5) Put this tag
<LINK REL="SHORTCUT ICON" HREF="filename.ico">
between <HEAD>...</HEAD> of your top-level HTML page (home page)
and you'll have a custom URL graphic just like this page
does !