Lot of bloggers struggle a lot on changing and creating FavIcon of their blog. For creating FavIcon just browse this website and create free FavIcon from any image.
Create FavIcon and save in your website such as I kept at http://mazakaro.com/favicon.ico
Now open header.php from
Appearance->Editor->header
Now after tag you will find tag which will contain FavIcon URL. Change image URL to your new favicon.ico URL.
If FavIcon is not present after tag then put yourself like
<link rel=”shortcut icon” href=”http://Your-Blog-Name.com/favicon.ico” />
Now save header.php page and now clear your browser data (cache,history,cookie,etc) and restart your browser to see your new FavIcon of your blog. Sometime FavIcon takes 2-3 days to get reflected on your browser due to some cache issue.

