I think there should be a favico menu, with an importer, maybe even a small list of different favicos to choosefrom including an upload. In the distant future, maybe also a jpg-ico converter
Just make your icon and upload to the root, simple enough -
http://tools.dynamicdrive.com/favicon/
Like already said, just upload a favicon.ico to your forums root folder and you've got a favicon. As for a jpg->ico converter that's a piece of third party software that isn't part of php software development.
You can find plenty of those via Google.