You will find the Joomla favicon in the general /images folder; the file is called favicon.ico and by definition must be 16×16 pixels.
If you wish to use your own favicon, rename the default joomla favicon.ico file and put your file with that name in the images directory.
You can also change the favicon in the Joomla Global Configuration Site tab.
Remember, favicons are usually cached, so you probably should clean your browser cache and even after doing so it might take some time until it changes…patience is a virtue 
I have created a small guide on how to create a Joomla Favicon
Hope this can help someone.