Hello DAVid35n,

Concrete5 has the functionality built in, and it can be setup from the Dashboard.

This walk-through guide I did will show you how:
http://www.webhostinghub.com/help/learn/concrete5/images-and-video/...

I hope this helps,
John-Paul

Thanks a lot. I just missed finding this one

Adding or changing a favicon is a breeze in concrete5. Once you've got your favicon ready:

Go to the Dashboard
Click the Sitewide Settings tab
Find the Upload Bookmark Icon section (it's a box located right below Tracking Code)
Click "Choose File" and browse your computer to select the favicon you created.
Click "Save" and your favicon will appear whenever people visit or bookmark your concrete5 site.

SOURCE: http://www.concrete5.org/documentation/how-tos/designers/add-or-cha...

The link posted by johnpaulb works for a the current version 5.6.3.1

Here are the steps:
1) Login to your Concrete5 Dashboard.
2) Roll your mouse over the Dashboard button, and click the System & Setttings option.
3) Under the Basics section, select the Bookmark Icons link.
4) Under the Favicon section, click the Browse button. This will bring up a file browser window, navigate to your custom favicon.
5) Select your Favicon, and click the Open button on the bottom.
6) Click the Upload button.