See the small logo/icon in the tab when you open any website in any browser?:

How can I put such logo/icon on my wordpress blog?
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Two ways,
the first is use this plugin
http://wordpress.org/extend/plugins/shockingly-simple-favicon/
Or, if you really want to learn how it works. Open your theme folder (normally under wp-content -> themes -> your theme name) and then normally in the header.php file there is everythign that happens in the head of your pages.
Any where in the
<head></head>place the following code…Where /favicon, is the link to your favicon.ico.
To easily make a favicon, use the following link.
http://www.favicon.co.uk/
Hope this helps you learn how to do it and what the actual plugin does for you 🙂