The Joomla favicon can be changed to your own favicon.
The Joomla favicon can be found at:
[Joomla root] templates/yourTemplate/favicon.ico
For an Administrator template it will be located at:
[Joomla root] administrator/templates/yourTemplate/favicon.ico
It is also possible that the favicon is in the root of the Joomla site or the images folder.
It depends on the template programming.
One way to determine where the favicon is being pulled from is to view the source code of your page.
Look for something like this in the head section of the code:
<link rel="shortcut icon"
href="http://www.yoursite.ca/templates/yourTemplate/favicon.ico" />
! Browsers cache the favicon and some don't flush the favicon easily. You may need to clear the browser cache and possibly reboot the browser to clear the old favicon from the browser cache.
Tip: I find this favicon generator tool helpful for converting images to favicons.