Until recently, I used websites to convert PNGs or JPEGs into ICOs for me. My method was pretty simple: Google for "convert PNG to ICO" and use the first site that came up.
I've recently decided that this method is bogus. Creating a 16x16 favicon.ico is incredibly simple, as long as you know to install the Windows Icon Format Plugin from Telegraphics. Installing this plugin is as simple as dropping the plugin file into the "File Formats" folder inside the Photoshop "Plugins" folder.
Once you have the new format file in the appropriate directory (remember, Photoshop must be restarted), Photoshop should be able to "Save As" ICO. That's all it takes.
Now you just need to create 16x16 image, "Save As" ICO, and upload it to your website.