A favicon does not do anything special except provide another professional look & feel for a website.
“favicon” is short for “favorite icon” and it is the icon that you see to the left of the website’s URL. It is sometimes a miniture version of the logo or (if the logo is to complex) some other icon that promotes the website’s brand.
This is the www.google.com website and as you can see their favicon is displayed to left of the website path.
Review the following blog on how to create a Favion.ico using Adobe Photoshop: