A favicon is the little icon that appears in your browser tab.
To set up favicon follow steps below:
In your WordPress dashboard, click Appearance and then Customize.
Open “Site Identity” tab then , open “General” tab.
In this section Click on “Select image” button, to open media library.
Choose and insert your image from library.
Click on “Save & Publish ” button to save changes.
Note: Icon must be square and at least, 512px wide and tall.