This works okay for Firefox but doesn't change the favicon in ie7. It must be calling the favicon up from somewhere else in the site other than the template, or the site root, as I have replaced that with my own, and it still finds the Joomla favicon. Also there is no line like
<link rel="shortcut icon" href="http://yoursite.com/templates/your_template/icon/favicon.ico" />
in rhuk_milkyway, the standard Joomla 1.5 template's index.php
This advice is the same given in all documentaion I found on the subject and it isn't right. Surely other users are experiencing this?