I'm limited with what I can see as I'm on iPhone but this has always worked for me;
i read somewhere that its best to specify the full path (that might have been due to using templates though - one common header file for all pages, even those in sub-folders).
<link rel="shortcut icon" href="http://fast-edit.co.uk/favicon.ico" type="image/x-icon" />
edit: I think John said a while back in another thread that you don't necessarily need the link tag at all - just having the favicon in the root folder will be enough for browsers to locate. I haven't tested that yet though.