Favicon :

You cannot have a favicon per page unless you create a custom template for every page.

You can create one in header.php

<link rel="shortcut icon" type="image/ico" href="url/to/favicon.ico" />

To save hard-coding the URI you could use:
<link rel=”icon” href=”<?php bloginfo(‘url’); ?>/favicon.ico” type=”image/ico” />

In this example, the file goes into your blogname directory. I stuck mine in a subdirectory, appending the following to the PHP variable: /directoryname/favicon.ico”