If you do, IE 5.0 and Mozilla have a facility where, if someone bookmarks your website, the browser associates a particular icon with your website in the bookmark. It tries to obtain that icon by first requesting for "favicon.ico" from the directory of your web page. If it cannot find such a file, it will try to obtain it from the root directory of your website, failing which, it will simply use a default icon for the bookmark.
On the other hand, if the favicon.ico file is available, the icon will also be displayed beside your website name in the "Favorites" menu, the location bar in IE, and if the user opens up the "Favorites" folder, it will be the icon used for the link to your site.
How to Create a "Favicon.ico" File.
1. Go to http://www.favicon.co.uk/ and create an icon, 16X16 pixels in size. You should also restrict yourself to the standard Windows 16 colours.
If you like, you can also create a 32X32 pixel icon, which will be scaled to size for the Favorites menu and the location bar. You can even put both 16X16 and 32X32 pixel icons into the same icon file. Windows will use the former for its menus and the latter when the user opens up a folder that is set to display large icons. It's probably not really necessary to do this if you can't be bothered.
2. Save the image as an ICO file (named "favicon.ico", of course).
3. Upload it to your website in your root directory.
4. Add a link to the favicon on your web pages, replacing the href with the path to your icon.