If you have troubles since the update to WordPress 4.5 please read this post before opening a new thread.
Yes, you have two options:
1) Use a plugin like: http://wordpress.org/extend/plugins/all-in-one-favicon/
2) Just place the icon file (favicon.ico) into the main wordpress directory (where wp-content, wp-admin, etc. can be found). The browsers will use this icon automatically and you don’t need to install an extra plugin.
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