A lot of browsers will check for a file named favicon.ico so you don't have to use the html link ref unless you want to be comprehensive -firefox will apply it to your whole site, for example. The easiest way to add things like that to every page in your web site is to have a consistent header that has references like that and your stylesheets, for instance, which you include in each page. How you include that file depends on what you're using to write your web pages. it's very easy with PHP for example.

outside of one unfortunate use of the apostrophe, the discussion of PHP include on http://www.tizag.com/phpT/include.php is nicely to the point.