Replacing the Icy Phoenix favicon on your site and in your Browser Window:
Copy your new favicon.ico to /images/favicon.ico (and also to your forum root - Though not required).
Note: It must be an .ico file and nothing else, If you want to convert a .gif etc, you can do that Here.
IE7 Internet Options: Clear your Cache, Cookies, Temporary Internet Files and Browsing History (Including Offline Content)
To change the ico in the Favourites Toolbar:
Right-Click > Properties > Web Document > Change Icon > Browse to the icon on your computer.
If you're still stuck, then further help is available Here.
FF Firefox Peculiarities: When you add any site to the Bookmarks list with FF, its favicon isn't displayed immediately. Only when you click on the bookmark will Firefox load the favicon and save it.
You should now have your "New" Icy Phoenix Favicon in both your site url and your browser.