The joomla favicon is stored in the /images folder. The file is called favicon.ico. By definition a favicon must be 16×16 pixels.
If you wish to use your own favicon, rename the default joomla favicon.ico file and put your file with that name in the images directory.
Alternatively, you can change the favicon in the Joomla! global configuration Site tab (on the bottom).
Depending on your browser, you may not see the icon immediately. This is because the favicons are cached, which is why they can appear in your bookmark list. So, to see your favicon, you will need to clear your browser cache.