IE has lots of issues with favicons. It often caches them for a long time (meaning if I change the one on this site right now, many of you may not see the change for weeks or months. The other issue is that IE is much more finicky about the actual format of the .ico file. FIrefox will allow .png and even gifs or bmp files with 16 colors renamed to .ico .... IE will balk at many of them and show nothing.
Sorry I misunderstood your questions....I thought you meant here on this website. You can take any image and resize it...I think 16 pixels by 16 pixels. Save it as favicon.ico and put in on your website server. Of course the simpler the better you can tell what the actual favicon is. I have had people use a photo and there is no way you can tell what it is!!! Something like a maple leaf, a star etc... you get the idea
or you can go here and get one created for you. Note that sometimes I have had problems with IE picking it up.