Font installs are tricky. For one, fonts are often copyrighted, so you can't just give them away. Secondly, every system is different in how it does fonts. Although most systems support truetype these days, the way fonts are installed differs greatly between mac, windows, and linux. I believe IE has a mechanism for doing "live" font downloads, but from what I recall, it's often disabled as it's a security risk to the user. Who's to say your font isn't a virus?
As for the icon... just search for "favicon.ico" in google and you should get a dozen pages explaining how to do it. Alternately, just look at the source code for a page that does what you want, and you can find the link icon metatag.