actually, the favicon.ico is taken from the /images/general/STYLE/favicon.ico, so it changes depending upon which style is used.

if you have multiple styles, then have a copy of YOUR favicon.ico in each one that is enabled

from header.tpl:

Code
<link rel="shortcut icon" href="{$config.BASE_URL}/images/{$style_array.general}/favicon.ico">

by putting it into the forum dir or even the site root, it will look to 'work' because browsers are forgiving and hunt around for one in those directories, when one isn't in the specified directory.