Do this:
<link rel=”shortcut icon” type=”image/jpeg” href=”https://plus.google.com/s2/photos/profile/[your google+ id]?sz=16″/>
example:
<link rel=”shortcut icon” type=”image/jpeg” href=”https://plus.google.com/s2/photos/profile/123456789?sz=16″/>
Put this line between <head> and </head> of your web page. For wordpress, find it in header.php file (in theme editor).