Yes, Vandelay modules don't work. You have different options:
If you use your own skin, then my personal favorite to solve this task is to create or customize the HeadLinks.cshtml file in the Views folder of that skin. create a link like this:
<link href="path to your favicon.png" rel="shortcut icon" type="image/x-icon" />
If you search through the internet you will find other solutions. Most of them replace the existing favicon or change the existing skin. These are destructive in some way and I don't like them.