Favicons are those little mini-graphics that appear next to the URL in your browser address bar, or (depending on your browser) on the Favorites lists, or the Links list, or the browser tabs. They help ID the site. So, for example, this blog’s pages get a “DDtB” favicon, while other pages at our site get an “HK” icon.
Here’s an online Favicon generator. As I recall from my own work on these, it’s not nearly as easy a task to come up with a graphic that will shrink down nicely into one of those tiny graphics as you might think.