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Place this link tag in the header file of your home theme and member theme.

<link rel="shortcut icon" href="<?php bloginfo('template_url'); ?>/favicon.ico" />

The above is just an example. Make sure the path to your favicon is correct.

If you don’t have a favicon, here’s a site that makes a favicon out of any graphic file you provide: http://www.html-kit.com/favicon/