It is an easy task to add the favicon to your wordpress blog. Create your .ico file using whatever software you think best, here are a few options for you: Dynamic Drive, Using Photoshop, Favicon Generator. Save it as favicon.ico.

Put your favicon.ico file in your theme directory.

Then, taking your header.php of your wordpress theme, add these lines in:

<link rel=”shortcut icon” href=”<?php bloginfo(’template_url’); ?>/images/favicon.ico” />
<link rel=”ico” type=”image/ico” href=”<?php bloginfo(’template_url’); ?>/images/favicon.ico” />

That’s it!