Anywho, I know now! It's super, super easy. I don't know how easy it is for Wordpress or other blogging platforms, but for Blogger it's a piece of cake.
First, you need to create your favicon! Go to a favicon generator site - I used www.favicon.co.uk, but I know there are others as well. Create your favicon from an image that screams your website, or just something that will help others identify you. I cropped my image down to around 60x60 (I use picnik.com as my photo editor and I ♥ it!) before I uploaded/created it. Once you upload it the site will allow you to download it to your PC.
From there, all you have to do is go to your blogs Design tab, then click on Page Elements, then simply click EDIT next to the FAVICON box (top left). Upload your custom favicon that you saved to your PC, and there you go! Easy, right?
I was actually looking up HTML codes and instructions...it was giving me a headache! I wonder how long this option has been staring at me?
Have fun making your blog more YOU!
**TIP: It may not show up immediately, in fact, it could take a couple of days. Mine worked within 5 minutes. I did clear my cache and internet history - maybe it helped?**