it should b in ur root directory such as
www.yourdomain.com/favicon.ico and also make sure its ico cux if its not ico and its jpg or gif etc it will only show up in google chrome...firefox but not IE.... and u jst put it in root directory not in image directory. Hope it helps and also b4 u make any changes jst make sure u chek it on any other computer aswel sometimes its a cache issue also which i had last night when i changed my favicon :P everyone was able to see it but not myself :P ..... !!