You can add this line of code into the head section of your index.html in your theming, and point it to your favicon image:

<link type="image/x-icon" href="favicon.ico" rel="shortcut icon">

See this link for more information.

I changed it in my theme as you said here but it's not working, am I missing something else? My icon is at the right place, I named it favicon.ico and it keeps displaying the default icon...