Well, here is a simple tutorial on how to do it for yourself.
1. Create an image you want to have as your Favicon (that's just what it's called). To make it look good, make the image a perfect square. I used 400x400. It will get re-sized later but this works well.
2. Go to this link: http://www.iconj.com/favicon_hosting.php
You will then see this picture:
4. I used No Sharpen for the Sharpen Level. Click Upload it!
5. If everything well well you should see something like this:
7. Ok, now the semi-tricky part. Go to the Edit HTML part of the design tab:
8. Inside of the HTML, search for (CTRL + F) </head>. Right above the line with </head> on it, paste the code you copied before. It should look something like this:
9. Save your template.10. If everything worked, you should be able to go to your blog and see a SWEET NEW FAVICON! WOO!
There are other ways to do this. This is just one that I know works. By the way, thanks to the folks at IconJ.com for hosting these files for free! You guys RULE!