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