Hi Tony,
Once you have the action downloaded and installed simply select your page (or
master page) and add the action to it either using the action palette or
selecting Page/Page Actions/FavIcon.
In the actions palette select your pre-made icon (make sure it is 16 pixels
square and a 4 bit depth or better still use the free online FavIcon generator
at http://www.chami.com/html-kit/services/favicon/.
When you publish your page the icon should show up in the address bar although
some browsers will refuse to show local files so uploading and checking on a
live server is always advisable. Also caching FavIcons can also be a major pain
as Safari (for example) is known to hang on to old icons although a trip to the
Empty Cache menu often clears things up.
Regards,
Tim.