SharePoint 2010 comes with a orange Favicon and it's present in SharePoint Root Folder\Template\Images [eg. C:\Program Files\Common Files\Microsoft Shared\Web Server Extensions\14\TEMPLATE\IMAGES\]. Open this folder and search for favicon.ico and rename the file to FaviconBackup.ico. Now copy your favicon to this folder and make sure it's named as "favicon.ico". Now restart IIS(open Command Prompt -> IISReset), clear browser cache/temproary internet files. Close the browser and reopen then browse the SharePoint site
http://geekswithblogs.net/venkatx5/archive/2010/11/19/how-to-set-favicon-for-sharepoint-2010-site.aspx
