Default location of this favicon.ico file is in the root directory of your website. However, latest browsers are able to support different locations of this icon file if you will point to this location by placing line of code into section of your webpage. It should look like:
<link rel="shortcut icon" xhref="http://www.yoursite.com/FAVICON/favicon.ico">
Put your site name instead of www.yoursite.com and actual directory name instead of FAVICON.
You can use different icons for different pages. Name them differently and point to them in corresponding section of this webpage. Size of favicon.ico image is 16x16 pixels with 16 color palette. Some browsers would support larger sizes, like 32x32 and bigger amount of colors. And some of them can work with different picture formats including GIF and PNG. You can use your favorite graphic editor and create image of your icon. You can use different resolutions for this file; just make equal resolutions by vertical and horizontal. Save it in one of common graphical format, like BMP, PNG, JPEG, GIF and etc. Then use this form to create icon file.
Upload this file to your root directory or to other location that is pointed to in the head section of html file. If you are using Joomla you should put this favicon.ico into /images/ directory of your site. Joomla core will ensure that browser would request icon file from this location. You can change default name of this icon in Global Configuration/Site/ section of administrator’s interface.