Alan has done a great job of explaining the favicon. I will just put in my 2ยข to say favicons are unique in that they have various layers so they can display properly in a browser "address bar") on desktops, and bookmarks etc.
Many Website's builders provide a way to insert your image and they will automatically generate the favicon. Our Webhost "Homestead" has that service, WIX also provides favicon creating, Square Space I believe uses their own favicon but provides directions as to how to replace it with one particuliar to your website (HLAA's). If at all possible use the .png format.
