You won't be able to change it on your blog, but you can do it for your own websites easily.
What is a favicon?
"A favicon is a graphic image (icon) associated with a particular Web page and/or Web site. Many recent user agents (such as graphical browsers and newsreaders) display them as a visual reminder of the Web site identity in the address bar or in tabs." (source)
How do I add one to my site?
If you want to add a Favicon to your site, just follow the instructions on the W3 site. You will need to create a 16x16 pixel PNG image, and to paste a bit of code from the W3 site into your HTML for each page that you want the icon on.
It's easy, peasy so try it out. Have fun!