A favicon is that little 16 pixel by 16 pixel icon which shows in the browser bar when you load certain websites.
I explained the favicon to a colleague who responded, "That's something that all the major sites have". While this may have been true several years ago, the time has come where everyone can create one. There are many free favicon generators available on the web. I used this one.
If you can handle a bit of coding, you can even add it to your blog, and get rid of that generic orange blogger icon. Here's how you do it.