Favicon stands for "Favorite Icon". I used the website www.favicon.cc to change the icon on my address bar (the pictures below show you before and after I changed the icon). The picture you choose to be your new icon must be very small (16 x 16 to be exact). So keep that in mind if you want to change the icon for your blog/website.
P.S. - I changed my icon to a picture of my band, Housefire. Check us out on facebook/twitter/youtube.