That too, but I think you have to load it to your server. And if you do that you might as well drop in the root directory. That is what I did and it shows up on everypage.
If you don’t see it just clear your cookies and try again.
In alot of sites that convert images to fav icon, give you a icon that you can just drop into the public_html’s root directory.
The file is called fav.ico just drop that into the root directory