I created mine by using this service http://www.favicon.cc/ and uploading the .ico file to the root of my site and another copy within my theme folder. Seems to work
Why would you need a plugin? It’s a simple one line piece of code that is added to the head of the document, and google will throw up a hundred guides on how to add one, if you haven’t the graphics tools to create the correct file format then the link suggested above is the answer.
It’s really the simplest of tasks. You will need to use one of the many favicon generators as suggested by @suchaqd, then add a single line of code in header.php. I’ve added mine directly after the stylesheet declaration, i.e…
` <link rel="stylesheet" href="” type=”text/css” media=”screen” />
`
Just make sure you call it ‘favicon.ico’