Joomla 3.0.2: change site favicon

Ensure you have a 16x16 pixels image file. If not, resize what you have.
Convert your image in .ico image.
Rename your file to favicon.ico
Put your file under:

<joomla_root_dir>/templates/<your_template_name>/

Here you will have already a file with that name. So you overwrite it.

Now to see your new icon you need to
- reload the page(F5)
- force reloading your page (CTRL-SHIFT-R)
- clear internet tmp files

Have fun...