Follow the instructions on RunningYourOwnApache.
Download the latest version from http://apache.org
You need to organize a couple of things in the Apache configuration file. First of all, you want an alias for your "favicon.ico". With a static web-site the favicon is in the document root. I prefer the favicon in the same directory as my other static media. Therefore you need an alias for the directory with your static media, as well as an alias for your favicon
alias /favicon.ico /YOURPROJECT/site_media/favicon.ico alias /site_media/ /YOURPROJECT/site_media/
2.3. More information