Can't figure it out

I've been trying to figure out how to get that little picture to show on a tab when I go to my blog.All I get is the blogger icon.
I know it can be done because I see them on tabs of other bloggers.I thought it was the favicon,but nothing changes.
I'm so not tech savvy.
Still can't figure out ads either.HTML confuses the crap out of me.
Such is life...