Favicon is a small icon on the webpage tab in your web browser next to the page name.
Favicon size 16 x 16 pixels, it can be a reduced version of your logo or the first letter of the name of your site. You can have it ordered together with the logo or if you are comfortable with image editors you may create it yourself or use an online service.
Once the image is ready, go to Settings page of Admin section and press Upload a file button in the Favicon section on the Site identity tab.
Once the image is uploaded it will be set automatically, with no further steps to take. All done.