There are two ways to change the favicon in a Sharepoint 2010 / MOSS site. The easiest (by far) is to simply change the FAVICON.ICO file in your Sharepoint folder. For me that path was
C:\Program Files\Common Files\Microsoft Shared\Web Server Extensions\14\TEMPLATE\IMAGES
Note that after I changed this, I cleared my IE9 cache and performed an IISRESET on the server but it still took about 20 minutes for the new FAVICON to appear on my browsers tab and address bar (to the left of the URL).
Apparently you can also create a new icon, save it on your server and change the path to that icon, by:
- SITE SETTINGS
- MASTER PAGES
- Edit the v4…. page
- Find the reference to FAVICON and adjust the path.
I did not do this so I cannot vouch for it but I thought you should know all the same .