To do this you need to edit the HTML content of the your page. I inserted this code in the <head> <\head> section where the meta content bits are
<link href='COPY+PASTE URL TO YOUR FILE HERE' rel='shortcut icon' type='image/x-icon'/>
The file has to be a .ico file type. I use this site
http://www.iconj.com/ to host my icon. No sign up required just upload any pic and they will save it as the .ico format and the will even give you the code to copy and paste or allow you to download the 'favicon.ico' file if you want to host it elsewhere then all you need to do is copy the code above and insert your own URL.
*man I take to long to type Woosty beat me to a solution