You'll need to give each favicon a store-specific name such as store-name-favicon.ico and then reference that favicon in the store's 'head' View.

Each store would need to have it's own skin in order for it to have it's own favicon. The head view is located in; /skins/Skin_#/Views/Shared/_Head.cshtml

The code for referencing the favicon would be;

<link rel="icon" href="/skins/Skin_#/Images/icons/store-name-favicon.ico" type="image/x-icon"/>

NOTE: the above assumes you've saved the favicon to /Skins/Skin_#/Images/icons/