A favicon; also known as Site Icon is what represents your website in the browser tabs, bookmarks and many other important places. Below are some examples:
To add a favicon for your website:
- Prepare image file. It must be square, and at least 512 pixels wide and tall.
- Go to Administration Screen – Appearance > Customize
- Click Header > Site Identify
- Click Select Image at Site Icon section, upload the image file you prepared in the above step from Upload Files tab screen, and click Select.
To learn more, visit WordPress Codex.