What is Favicon?
Favicon is a small icon, with 16×16 px, appear on the url of the website when you visit
To make a favicon for your WordPress, you can do as following:
1. Prepare an picture of size 16×16 px in .ico or .png format, save the filename as favicon.ico
2. Upload the file to your current theme folder (e.g. /wp-content/themes/[current_theme]/favicon.ico)
3. Open the header.php of your current theme, and insert this after the <head> tag
<link rel="shortcut icon" href="<?php bloginfo('stylesheet_directory'); ?>/favicon.ico" />
4. Save the file and reopen your website to see the change



Thanks for sharing. You may check out the post below on How to Create Favicon for Website and WordPress. Thankyou.
http://www.quertime.com/article/arn-2010-11-28-1-how-to-create-favicon-for-website-and-wordpress/