There is probably ten better ways to do it. But I just wanted to share this with you all, since I appreciated it much myself.
1. Make a .gif foto in 16x16px. (The one you're going to use as your icon)
2. Call the picture f.ex favicon.gif
3. Upload it to your template folder
4. Open your header.html file in your template folder (the template you are using)
5. Add this code inside <head> </head.> ;
<LINK REL="SHORTCUT ICON" HREF="/favicon.gif">
Voilá!!
Example;
