If you want to grab a favicon (the little icons you see beside the address bar and in bookmarks) from a website (only for personal reasons — for example, having a shortcut on your desktop to the website), the easy way to do it:
http://www.your-website.com/favicon.ico
It’s always called favicon.ico, and its always in the root directory.
Good luck.
Recently, I downloaded some icons (*.ico files). However, they were a huge mess, so I decided to convert them to icon libraries (*.icl). An icon library is simply a bunch of icons in one file.
To compile them into libraries, I used IconShop (available here). All you do is run the program, drag and drop your icons into the program, and there you go.
If you want, there are more detailed instructions here.
If you have lots of icons (*.ico) files scattered around your hard drive, perhaps you could use IconShop (download here, make sure to get version 1.13) to compile them into an icon library (*.icl)
It also converts other graphic formats into icons.
