The grey arrow is pointed to my favicon.
Second question is how do I get my own nifty favicon.
First, visit the settings part of your Blogger blog.
Once you arrive at this page click edit on the Favicon box.
Next it is as simple as uploading your own image. Maybe you are fashion blogger and you want a high heel or you want your companies logo. Just be sure to keep in mind that the image is going to be really small so a lot of detail isn't going to come through, silhouettes work the best. The image will take a little bit to show up. On my blog it was about 12 hours.
If you are needing more how to's for your blog check out the How to Blog Guide tab or if you have a other questions let me know.