To use a different site icon.

  1. Start up SharePoint Designer 2010
  2. Open your site
  3. Navitate to the Master Pages library
  4. Click on the the Master Page that your site uses (this is v4.master for a default team site)
  5. Click on the Edit file link under Customization
  6. Locate the tag "<SharePoint:SPShortcutIcon " in the code
  7. Replace the url to favicon.ico with your own ico file.

To convert a .gif file to .ico format, I use this site http://www.prodraw.net/favicon/index.php