A favicon (short for favorite icon) is a shortcut icon, displayed next to the title of the webpage on the tab, bookmarks, and sometimes in the address bar next to the url.

Favicon’s are usually 16x16 pixels and can be added to your site by placing the ‘favicon.ico’ file in your website’s root directory.

Adding the file into the root directory should be all you need to do (give it a few minutes once you update your site for the changes to take effect), however if it doesn’t you can also link to it directly.

    <link rel='shortcut icon' type='image/ico' href='favicon.ico' /> 

//My favicon is actually my Github identicon.