Use this free tool to generate favicons from your favorite JPEG images.
Favicons feature in the address bar before your address, and also beside the name of a site you have bookmarked in your browser's favorites menu.
In most cases, the favicon will appear if you simply upload this to the root of your hosting provider, and name this "favicon.ico" (most browsers will look to this address to find a site's favicon, and will generate the favicon site-wide).
If you are unable to upload the favicon to your hosting root (eg: if you use Blopgger or another hosted blogging interface), you can upload the favicon to a different location and link to this from the head section of your blog template/web page (just before the closing </head> tag) like this:
<link href='http://imagehost.com/yourfavicon.ico' rel='shortcut icon'/>
<link href='http://imagehost.com/yourfavicon.ico' rel='icon'/>
Be sure that the address of your favicon is exact address of your favicon online.
Please note: in Internet Explorer, a favicon will not display until you have bookmarked the page in your Favorites. You may also need to close the browser and re-open it before the favicon begins to show. In all other browsers (eg: Firefox, Opera), the favicon should display immedietly.