A solution is suggested here:

http://drupal.org/node/61728 [2]

It didnt work for me probably cause I had set up a multi site.
What did I do:
- upload all favicons by ftp to the files folder
- manualy filled in the path files/my_favicon.ico at admin/build/themes/setting/name_of_theme and save

and this worked...

When I used the upload button it didnt work. I didnt investigate it further why my method worked and the other didnt,... (feel free to contact me [3])