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How or where I can change that little icon next to my blog address?

It’s a favicon. You simply need to create a new favicon and upload it to your site using FTP r whatever file management tool your host provides.

https://codex.www.ads-software.com/Creating_a_Favicon

As for your sidebar problems, you have a number of validation errors on that page – including at least 2 missing </div> tags that will, almost certainly, be causing the sidebar to render below the main content instead of beside it.

Thanks. I’ll try to correct them.