Favicons - Favorites Icon
Favicons are icons (commonly a single letter - they are small, so complex designs don't work well) that can be seen before entries in your browser's favorite sites list, and sometimes are present before the URL in the address bar as well. Additionally, Andriod devices use a website's favicon to create an icon for favorites on the desktop.
The SEO value added is limited, but they help websites appear more professional.
The code (insert in the head section) to add a favicon to your site:
link rel="icon" type="image/png" href="/somewhere/myicon.png"
(include the appropriate open and close for .html (< and >) or .xhtml (< and />)