Clients like favicons but making one can be easy or hard, it depends on your approach. If you're old school, then you can use MS-Paint or GIMP or if you're like me,I cheat. I use a web favicon generator. I use favicon.ico generator. Most amazing thing about favicon.cc is that its free. FREE!
You have a favicon, you'll need to copy it to your theme folder. Make sure that is on the same folder as your .info file. Don't put in a sub folder like say img or css.
You'll need to edit your theme .info file. Here is a excerpt of mine theme .info file.
; ------- Declare default theme information name = LGR 960.gs description = Omega Sub-Theme for LGR screenshot = screenshot.png core = 6.x base theme = omega ; ------- Declare default theme features features = logo features = name features = slogan features = mission features = node_user_picture features = comment_user_picture features = search features = favicon features = primary_links features = secondary_links
The thing here is the theme features section where it says feature = favicon. This basically says to Drupal to look for your favicon on the same level folder where the .info is placed and use it. Normally, this is automatic to Drupal themes especially if you subtheme one of its many primary themes like Zen or Omega.