On this web site you will find the web application to import, edit, and save your favicons as well a tons of information on favicon.
A favicon is the small icon you see at the left of the website address in the browser. The name comes from the concatenation of the word favorite and icon because at first it was used by Internet Explorer to put an image beside the link when you added a website to your favorites (bookmarking).
Favicons are used in a lot of situations; they are used when you bookmark a website, in the address bar of the browser, in the tab when you open a tab in a broswer and in some aggregator like netvibes it is used to add an image near the site.
It is pretty easy to associate a favicon with a website, all you have to do is add an icon file with the name favicon.ico in the root directory of that website.
Favicon have the .ico extention and the ico format is a format designed by Microsoft. The favicon as different sizes but the most common size is 16x16. Also the favicon support the alpha channel so you can have transparent pixel in your favicon.