Favicon is a small graphic used to represent a particular web site. It can be displayed by various browsers (including Internet Explorer 5 and above) when navigating or bookmarking that web site.







Once placed there, the a compatible browser should be able to pick it up (although it may be able to first clear the browser's cache). Where and if the Favicon is displayed in the browser depends on the browser's user interface, but in Internet Explorer, Favicon is displayed in the browser's address bar, and also in the Favorites menu for bookmarked sites.

Create the image you want to place as favicon (a square one), than go to this site to transform it to a Favicon.
Then you have to upload your image to sny file hoster like Photobucket, or example.
Next and final step, you have to put the code below in your blog/page -

<link href='PUT HERE THE URL OF THE FAVICON' rel='icon' type='image/x-gif'/><link href='PUT HERE THE URL OF THE FAVICON' rel='shortcut icon' type='image/x-gif'/>

Just replace 'put here the url of the favicon' for the respective address of your image; where says x-gif, replace gif for the extension of your Favicon (ICO, JPG, PNG...).
Done!

Note: In Internet Explorer it may take some time for the Favicon appear (even days), be pacient.