I have searched far and wide, and have found several different answers for how to do this.  As you can see from my page here, the little icon next to my webpage name has been replaced by a little image of my own design.  This can be done rather easily, and if you already have one I can show you how to fix it to work for Internet Explorer and Chrome. 

I will assume you already have an icon in mind, and have made it into a .ico file.  The only change you need to make, is to change the reference, and file name, to all caps.  so from favicon.ico to FAVICON.ICO  There you have it.  Fixed so you see it in all the major browsers.