You have to create one first. You can create a favicon in an icon editor software or generate one online. One useful free program to create it in is IconEdit32. Search for it in Google and download and install it. It can create 16x16 icons and 32x32 icons. The first is very small and so it is better to create one of the latter size.

A Favicon is actually short for "Favourite Icon" and serves as a sort of symbol for the site. You can have a text Favicon made up of the first letters of your site or a symbolic favicon which denotes the subject of your site. It also serves to markout your site in your bookmark list. You can also make an animated favicon and a scrolling favicon which scrolls your blog title one letter at a time.

To make one online a free favicon generator is available at :
http://www.html-kit.com/favicon/

After downloading the favicon to your PC upload the icon file to a freeserver like Googlepages. Copy down the URL of the icon at Googlepages. Then login to Dashboard of your blog and go to Edit Html subtab under the Template tab. Copy the following code just below <title>...</title> tags

<link rel="shortcut icon" href="URL OF YOUR ICON AT GOOGLEPAGES" />

Save Template. Republish if necessary. Refresh Cache and view blog.

If you want to add an animated favicon add the following code in the same position :

<link rel="shortcut icon" href="URL OF YOUR ICON AT GOOGLEPAGES" />
<link rel="icon" href="URL OF YOUR ICON AT GOOGLEPAGES" type="image/gif" />

Save Template.

Another site to make a favicon is :
My Favatar