This worked for me by adding the line suggested by bsmithers (<link rel="icon" type="image/ico" href="http://example.com/favicon.ico">) on this thread:
I added the line with the path to my favicon to the head section per his direction to the main.php and main.checkout.php files located in the ...SKINS/FOUNDATION/TEMPLATES folder. If you are not using the foundation skin use your own skin folder instead.