Create a favicon for your web site (or whatever else youwant)

Create 3 png files with a transparent background. Make one 48×48 px, the second 32×32 px, the third 16×16.

Using Image Magick version 7 run the command:

convert 48.png 32.png 16.png -colors 256 favicon.ico

Put the favicon.ico file into the root of your web site or where ever else you need it. If you are using WordPress or some other content generation software, check the instructions that come with your software