Hi Chelsea,
No, don't worry about the favico.icon.
In your header.html file, make sure the link to your image is like this:
/theme/standard/logo.jpg -- you have to have the front / (The html code should look something like this: <img src="/theme/standard/logo.jpg" width="190" height="30" border="0">
And, of course, replace the word standard with the actual name of whatever theme you are using.
Then put your image in that theme folder.
That's really all there is to it.