What is a favicon? The little icon you see on the left corner of a browser tab and URL bar is a favicon. It’s short for “favourites icon”. Usually it’s your logo however, it’s only 16 x 16 pixels which is pretty small so you may want to customise your logo to help it stand out.
Your WordPress theme might already have a favicon but it you want to change it, you need to save an image as favicon.ico and upload it to your themes image folder on your server. Of course there are many WordPress favicon plugins to help make this process a lot easier. From the dashboard, just search for favicon in Plugins >Add New.
Further reading about favicons on WordPress.org