Do you mean the favicon.ico? You can create one in Photoshop or use an online favicon generator http://tools.dynamicdrive.com/favicon/ and upload said favicon.ico to your server and link to it in your header.php
I am sorry but I am really new to this, after I make this favicon, can you give me step by step instructions as to where do I paste it or how do I link it to my header.php? I am using filezilla by the way.
1. Upload the generated favicon.ico to the root of your domain so that:
http://www.yoursiteurl.com/favicon.ico
2. Open up header.php file of your current/active theme with a text editor, then add this link within <head> </head>:
<link rel="shortcut icon" href="http://www.yoursiteurl.com/favicon.ico" />
then save header.php and upload to your active/current theme folder.
