I have a favicon.ico in my /public_html directory. When you go to my page, it appears until the page finishes loading, and then it goes to a blue square. (The same blue square appears as the site icon for glfusion.org)
I've tried clearing the cache in C&C. The icon appears as page loads, and then goes to blue box.
If you want to replace the facicon and you are using the Nouveau theme (default for glFusion), please your favicon.ico in the public_html/layout/nouveau/ directory, that should pick it up so it will always be used.
I am having the same problem. I tried your suggestion Mark and also tried the public_html/layout/nouveau/images directory, no luck. I am currently on glFusion 1.1.5.pl2 and also expirienced it with the last release. I have performed a ctrl-F5 and a Clear Cache in Command & Control.
I think browsers really like to cache the favicon. I replaced the one here, cleared the cache, hit ctrl-f5, still showed the old one. I exited my browser, ran ccleaner (which clears the browser cache), loaded the site and there it was!