by reading http://en.wikipedia.org/wiki/Favicon you can also find that:
The following format is cross-browser compatible and is supported
by Internet Explorer, Firefox, Chrome, and Opera.
<link rel="shortcut icon" href="http://www.example.com/myicon.ico" />
Additionally the following is also acceptable:
<link rel="shortcut icon" href="/somepath/myicon.ico" />
The following shows the supported format of link tags, using examples,
for HTML and XHTML.
<link rel="icon" type="image/vnd.microsoft.icon"
<link rel="icon" type="image/png" href="http://example.com/image.png">
<link rel="icon" type="image/gif" href="http://example.com/image.gif">
so, the common practice is indeed to put a file called 'favicon.ico' on the root folder, but to be sure, you have to lookup the source code of the served file and see if and what is defined there.
eg, for http://superuser.com it is
<link rel="shortcut icon" href="http://sstatic.net/su/favicon.ico">