Mark, I'm sure there is no technical reason why we don't have a favicon. It has simply not come up before, as nobody considered it important. You may be in for a wait before you see one, though. The website owner (the Prof) is on an extended trip with limited intenet access, so non-critical stuff like this is kind of on the back burner until he gets back.
I had a bit of a look at your site. I'm curious as to the phrase 'pygmy wars.' I've never heard this used before, is it an established name for those conflicts (which I confess I know next to nothing about), or is it something you invented yourself? What do pygmies have to do with it?