In order to have your favicon.ico work, you should put the following in the head section (between <head> and </head>) of your document. If wordpress is the root website (ie wat people see when they type in exmaple.com), you should put it in the header.php of the template you’re using (under edit templates in the wp-admin).
<link rel="shortcut icon" href="https://example.com/favicon.ico" type="image/vnd.microsoft.icon">
Edit: Oops, someone beet me to it O.o
