What I usually do when I want to create an icon for a website that I visit, I normally do the following.
On your web browser where it shows the web address, example w w w . blah. co. To the left of the w w w or h t t p, you should see a little icon, in the case of Internet Explorer it will be a little white square with a blue e on it. Click on this with the left mouse button, and continue to hold it down while you drag it on to your desktop.