>>Where can I get this file to put on my server
>You will need an icon creation program. There's a ton out there, just do a Web search. Make your icon and name it "favicon.ico" and throw it on your server.
I simply pasted a 30x30 pixel image from the clipboard and bingo...there's my icon!
I was wondering what this favicon.ico file was as well. This is an interesting little feature to IE. Plus it also gives an indication of how many IE users add your site to their favorites list. One question: Do you only need one favicon.ico file on your server, or will a request occur when an IE user "bookmarks" a page from a subdirectory? In other words, do you need this file in every subdirectory?