It is the little icon that shows up (if you have one) in the browser’s address bar. For instance, here it is a large blue “W”.
It’ll show up in stats as it is requested by visitor’s browsers.
More info: http://en.wikipedia.org/wiki/Favicon
Use a full url to the favicon:
<link rel="shortcut icon" href="http://www.example.com/favicon.ico" />
or you will see errors still.
Where do I put the full url you mentioned? Also where should I upload the favicon too?
The favicon should be placed in your root directory (the directory that holds your blog) and the url should be placed between the <head> </head> tags after any meta tags in the header.php
