Adding a customized icon to a web page

When I type a URL on IE, the browser will display the web page and also will show an icon (most likely different from default IE icon) next to the URL name. For example, go to this MSDN site and you'll see a small msdn icon on the browser's address bar. I've noticed this for some time and been curious on how to implement it on my test page for example. Finally I found a nice documentation about it on MSDN. I hope this will be useful in case you want to add a customized icon (a.k.a. favicon) to your web page and don't know how.