Important: Since WordPress 4.3 favicon option is set in the Customizer and custom favicon should be removed from all themes options.
This is now part of WP Core. It's now called "Site icon"
To add a favicon simply go to Appearance » Customize and click on the ‘Site Identity’ tab.
Here's a tutorial: http://www.wpbeginner.com/wp-tutorials/how-to-add-a-favicon-to-your-wordpress-blog/