I always wanted one of those:) After a bit of playing around I found out that the icon is cached somehow in my browser and I had to restart to get it to show up, standard ctrl+f5 option was not clearing it. So fair warning, that might happen. So all you need to do, in theory, in upload the image you want into your public directory, file manager should be fine to do this, and rename it "favicon.ico", I think that will be all you need, if you find it's still not working add <link rel="icon" type="image/x-icon" href="/favicon.ico" /> under the html tag in your index file, but that shouldn't be necessary.
And after you get the picture in and uploaded and it still doesn't show up try a manual cache and cookies clear or a computer restart, and don't just assume you've done something wrong like I did and screw with it for five or ten minutes.
