Yes you can change it. Follow the below steps
1.Using Photoshop or any free favicon website, create a new favicon.ico image . Or simply scale any image you have to 16 X 16 pixels and then save it as an .ico file.
2.Upload the favicon icon file you just created to your default template's directory
3. using your FTP program rename your .ico file to "favicon.ico". The filename has to be in lowercase and spelled like this favicon.ico