Kentico CMS adds following code into master page when using Portal engine approach:
<link rel="shortcut icon" href="/<VirtualDirectoryName>/favicon.ico" />
If you want for some reason to use your custom path to your favicon or simply not want this link to be generated in your web pages, you can simply delete file "favicon.ico" from root of your web project folder and add your custom link to your favicon in CMS Desk -> Content -> click root -> Master Page tab section. Please note that this operation requires application restart.