You need to edit your website's template and insert a link to your favicon. For example if your website's template is based on a file called alyssa.master, in the <head> section of it you can put
<link href="folder/favicon.ico" rel="shortcut icon">
where you would replace "folder/favicon.ico"
with the correct location and file name of your icon.
Hope that helps.
Grisha 'Greg' Karanikolov
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