ICO is Microsoft's icon format, a single file containing the same icon at multiple sizes (typically 16, 32, 48, 64, 128, 256 pixels). Browsers use the favicon at the top of every tab. Modern websites can use PNG favicons too, but ICO remains the universally-supported choice especially for older browsers and Windows desktop integration.
How to open
Browsers and Windows recognize ICO natively. macOS treats them as standard images. Modern image editors read multi-resolution ICOs; some older tools only see the first size.