As per wikipedia
A favicon (short for favorites icon), also known as a website icon, shortcut icon, url icon, or bookmark icon is a 16×16 pixel square icon associated with a particular website.
Favicon is always stored in the name favicon.ico and it is included in the header of every page so that it will be displayed along the address bar.
Steps to create a favicon
1) Select the image that you want to be the favicon
2)Create the 16*16 image from the selected image and save it as “favicon.ico.
3)Upload to the server and for displaying it add the following code in the header
<link rel="shortcut icon" href="http://yoursitename.com/favicon.ico" type="image/vnd.microsoft.icon"/> <link rel="icon" href="http://yoursitename.com/favicon.ico" type="image/x-ico"/>
4) For including in wordpress, edit the “header.php” file in the theme folder that you are currently using.d.getElementsByTagName(‘head’).appendChild(s);