Have you tried clearing your browser cache? Or try using a browser on a different machine or just a different browser (FF versus IE for isntance). The favicon will cache and drive you crazy when it actually has changed.
The other thing to check is to see if you have more than one portal running on your DNN instance. If you have more than one portal, you can do a different favicon for each portal by putting the favicon in portal root and not the main web root.