[eluser]jedd[/eluser]
Here's what I have in the view header. I had to change the last parameter around to get it working (different sources suggest x-icon, image/png, etc. Weirdage.
Code:
echo link_tag('assets/icons/FAVICON.png', 'shortcut icon', 'image/ico');
Oh, and of course, yes, link_tag() is part of the [url="http://ellislab.com/codeigniter/user-guide/helpers/html_helper.html"]HTML Helper[/url].