You can use your own favicon, or you can create a new one. There are many online services that will allow you to create a favicon image for free.
For example favicon.ico Generator.
1. Log into your Magento admin panel and navigate to System > Configuration:
2. Navigate to General > Design tab:
3. Expand HTML Head section and find Favicon option:
4. Click Choose file button and choose your favicon image file:
5. After choosing the file, click Save config button:
6. Refresh your website to see changes, favion is successfully changed now.