A favicon is a file of type "ico" which contain a picture of size 16x16px. It is the picture that you can ususally see next to the title of the page on a browser. Some very useful generators can be found online.
By default, all browsers display the file at the website root:
With Ocsigen, you just need to put it at the root of the static directory set in the configuration file.
There is actually no other way to display a favicon using Ocsigen.