Here are the steps on how to add a favorite icon on your wordpress blog web address
1. Choose your favorite image that you want to place on your web address.
2. Resize your image to 16×16 and save it as an ico image. (favicon.ico)
(You may use GIMP Photo Editor or any)
3. Upload the image file (favicon.ico) to your wordpress blog root directory through an FTP software.
4. Login to your wordpress admin. Go to dashboard, appearance and click Editor menu. Choose header.php at the right pane and add the following lines
<*link rel="shortcut icon" href="<*?php echo get_settings('home'); ?*>/favicon.ico” /*> without the asterisk. Remove all the asterisk, I just made it so so that it wont be interpreted by the web browser.

here’s my example:
in the address bar it looks like this

in the tab it looks like this

And also on this blog. You can see my favorite icon at the address bar.

If you are going to bookmark it, the little icon will also be shown in the bookmark list.

Happy Coding