I'm in the process of setting up a brand new blog. I've got almost everything looking the way I want it to, but for the life of me I can't figure out how to change the address bar icon. I saw this: http://en.support.wordpress.com/avatars/blavatars/#upload-a-blavatar
However when I look at my admin panel, I don't see a "blog picture" option so I'm guessing that's only for the WordPress hosted blogs.
I'm using the Mystique theme and tried uploading to root and to the images directory of the theme (named the icon 'favicon.ico') but that has had no effect -- I still see the WordPress icon.
I also found this: http://www.computer-realm.net/how-to-change-your-wordpress-favicon/. I tried that idea, adding the right code to the header, but no dice, still the WordPress icon.
My new blog is at http://www.thepersonalfinancehelpcenter.com. Thanks for any advice.