Header.php file

Hopefully an easy question;

how do i locate the header.php file.

please can you direct me in step by step guide in noob language please?

I am trying to upload a favicon icon to my website, i have done the first steps in cretaing the icon and uploading to my public_html, but i am stuck because i have no idea what or where the header.php file is, as i need to add some code for the favicon to work.

thanks
Josh