Icon for iWeb published site?
Unfortunately, there appears to be no way to create a favicon via the gui elements of iWeb. However, you are able to pretty simply add the html to the published version of your site.

I recommend following this guide from All About iWeb. It walks you through how to first create the favicon using one of a variety of free online tools and then informs you where it needs be stored in your site's structure as well as the necessary html you need to add to your pages.