Note that some browsers also ask for favicon at address http://yoursite/favicon.ico, before parsing the html page at index.php and finding the address to favicon in there.
That means that (if you have a vhost setup where eZ Publish serves as main entry point of the website) you can also copy the favicon from the design folder from the root of your eZ Publish install, and alter the rewrite rule accordingly.
If you are using eZPublish standard rewrite rules, probably the easiest thing to do is to change the lies that allow access to gifs and pngs and add in there the .ico extension
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