To create a favicon for your site, you should create the icon in .ICO format, and place it in a file called favicon.ico on your web site root folder.
Next, add the following line to your HTML <head> section:
<link rel="shortcut icon" href="/favicon.ico">
Even though the link specifies the icon URL, do not be tempted to move it elsewhere - some browsers assume that it's in the root folder.
I don't think you can change the favicon for a specific web site manually in FireFox (or any other browser).
