Dynamic Drive has a great tool for converting images to "favicon" icon files that appear in the tab/address bar of browsers. Simply upload the desired image (such as a PNG with alpha channel), and you can see the results in a simulated address bar and download a Windows-compliant .ico file.  Nice!

You can find it here: http://tools.dynamicdrive.com/favicon/.

Here's a preview of the interface with an icon I've created for use with collabormate.com: