A favicon is the little icon that browsers display next to a page's title on a browser tab, or in the address bar next to its URL. It also is used when you bookmark a page. It's critical for site recognition in a browser full of tabs, it's a great opportunity to expand your site's branding, and your site will simply look incomplete without one.
As the name suggests, favicons must use the icon (.ico) file format. In the past, it was a hassle to convert into this format. However, thanks to easy, free services, this is no longer the case. All you need to do is create a 16x16 image. The .ico format supports transparency, so you're not limited to creating a square icon. If you want to take advantage of transparency, use the .gif or .png format when creating your image.
You can either create your icon in your favorite image program then convert it to the .ico format or you can use an online tool such as favicon.cc to create a new one. Once you have done this, simply name the file favicon.ico and upload it to the root directory of your web site.