watch my site, there I use such an Icon. It´s shown in adressbar and in favorite list.
The Icon must be in root folder (where gallery´s php-files are) to guarantee compatibility with all browsers. I tested my site with Firefox, Opera and Netscape.
here my code in header.html bevore closing <head>-Tag
<link rel="icon" type="image/ico" href="http://yourdomain.com/favicon.ico">
<link rel="shortcut icon" href="http://yourdomain.com/favicon.ico">
.ico files contain two different sizes: 16*16 and 32*32. AcdeSee for example shows both, when opening the icon.
I used this site to create my icon
http://www.html-kit.com/favicon/