put the favicon in your “head” section (coded), view source of a page you like, or any with a favicon image and put in folder images in wordrpess file area, its very very easy.
i.e:
<link rel=”shortcut icon” href=”images/favicon.ico” type=”image/x-icon” />
favicons are 16 by 16 pixels so blow up an image to like 400% and work in dots almost, save and name as favicon, actually does not matter im sure if named whatever you want.