One solution is to use Gimp to draw up a quick 16x16 image and save it as favicon.ico (gimp 2 can save winders icons).

Then, create a symlink to /web-root/favicon.ico in all the subdirectories. Since the symlink and target file will both be within the Web tree, any server ought to return the same favicon to everyone. (This of course assumes you're using a Unix or Linux server. I don't know if it's even possible on a Windows server.)