Yes, except that you need to close the tag with '/>' instead of just '>'.
You can put it anywhere, as long as the
href attribute in the
<link> tag points to it. In my example the address is '
/favicon.ico', which means a file named
favicon.ico (the traditional name for this) in the root directory of the web site.
It should be an ICO file, though. You may need some extra software to create one of those, as Tailslide indicated.