See this:
http://forum.bytesforall.com/showthread.php?t=16442

Think my icon does not show because path is:
http://library.gc.cuny.edu/mrl365_2/.../gcfavicon.ico

but my website is:
http://library.gc.cuny.edu

I used this method:
http://codex.wordpress.org/Giving_Wo..._Own_Directory

go to ato->New Header images and press the save button
then read the on screen doc so you can move the file and not worry about it over updates.

Do not understand. I do not see New Header image and we are talking about a favicon.

Sorry it's 'New image locations'

thank you. works. what is the function of new image locations? does it have to be done after each upgrade?