Since I just did it, I'll share it! But this is for Blogger user only, because I only know how to change the icon on Blogger.
First, you need an image. The simplest way is upload your image on ImageShack: http://imageshack.us/
It would be better if you resize your picture into thumbnail size
After you uploaded it, the image will appear, click "view full size" and you'll see this:
Now, go to your blog dashboard. Choose "Design" and then click "Edit HTML". This will appear on your screen:
Search this in the HTML box
After you found it, type this above it. Zoom the image above for bigger image.
The result is like the picture above. After that, click "Save Template" and go see your blog for result, or if you're not very sure, you can click "Preview" first.
Sorry for my bad English and happy trying ^^
Hope this post could help!
Note: I don't know why but the new icon doesn't appear in Opera Mini and Google Chrome T_T