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first you have to find where the favicon is stored. Traditional themes store the favicon at root. Morphogenesis themes and some more modern themes often store it in a folder called "icons". be aware that
sometimes, even though there's a favicon.ico in this folder, the site uses an image instead.
once you've found the proper location of the file (using your ftp client is easiest) you need to replace it with your own one.
You can make a .gif .png or .jpg into a favicon
here if necessary.
Never let a man who does not believe something can be done, talk to a man that is doing it.