Learn how to add a favicon to a wordpress self hosted site.
http://thewiseaffiliate.com/tutorials...
This video will show you how I personally add a favicon to my sites using a wordpress plugin called "Favicon Rotator".
http://wordpress.org/extend/plugins/f...
The reason I like this plugin is because I can use any size image and not have to try create my own 16px X 16px favicon This plugin also gives you the option to set icons for Touch screen devices like Android, iPhone, iPad, iPod Touch.
If you're wondering why it's called "Favicon Rotator" it's because it also support multiple favicon icons that are randomly displayed.
Before installing any favicon plugin you should check your theme custom option, many wordpress themes have built-in options for adding a favicon.
If you'd like learn how to make a favicon or create your own favicon you should checkout this cool site: http://www.favicon.cc/