Upload the generated file ("favicon.ico") to your site. Verify it's there by typing
http://mysite.com/favicon.ico in the browser's location, where "mysite.com" is your site's address.
Next, insert the below code in the HEAD section of your pages, at the very least, your site's main index page:
<link rel="shortcut icon" type="image/x-icon" href="/favicon.ico">
That's it! Note that your favicon may not appear immediately after you've completed the above two steps. In fact, it may take a few days, and in IE, sometimes the favicon will disappear from time to time due to a browser bug.