favicon icon can be changed in 2 ways.
1) <link rel="SHORTCUT ICON" href="layout/favicon.ico" >
Changing in the JSP/HTML file if u are using your own desktop and page.
2) Please replace the existing icon at the following path with your favicon
Default SAP Favicon icon has to be replaced by your favicon icon.
This requires a server restart.
Note: more info about favicons and support in IE: Why doesn't the favicon for my site appear in IE7? , more info about favicons in general: http://en.wikipedia.org/wiki/Favicon
Good tutorial on creating favicon: Creating a multi-resolution favicon including transparency with the GIMP