A favicon (or site icon) is the icon that shows in the browser tab like this:
To upload a favicon start by opening up the Site Identity tab in the Customiser.
Here you will find the Site Icon option. As you can see it recommends uploading an image that is a square and that is at least 512px by 512px.
Click on Select site icon and then either upload a new image or choose an image from your media library.
Once you have uploaded your favicon you will be able to see a preview of what it will look like in a browser tab.
If you are happy, click Publish at the top of the screen to make your favicon live.