This is what i did to change the favicon of my Plone 4.1 website.

First login to your Plone site and then go to the ZMI (Site Setup –> Zope Management Interface). In the ZMI browse to <site_root>/portal_skins/plone_images.

In this folder click on favicon.ico and choose customize.

A copy of the favicon will now be placed into the <site_root>/custom folder.
As title choose something like “My favicon” and upload your favicon.ico file.

This should give you the new favicon.