The favicon is a very persnickety little thing. Browsers cache this thing very heavily so to see it, you need to do a couple of things.
Make sure you don't have a favicon in the root of your site. I think mojo at some point included a favicon in the root but I could be wrong. Still, it is worth checking.
A) rename the folder your skin is in to NameOfSkin-v1 and set your site to use it. This will cause the css and images for your site to have a new path so browsers will be forced to download everything again.
B) open your web.config, add a blank line to the bottom, and save it. This will cause the server CSS cache for the site to be discarded and rebuilt.
Use a different computer or browser to view the site. You should see your personalized favicon.
Regardless of the method you use, it may take a while for the favicon to be updated in your browser. Modern browsers (IE 8, FF 3.6) are better at this than older browsers but it can still be painful.