I have not found a specific area to save the favicon.ico so I sending him to the area of assets.
But I can not get it back again.
This is in fact not related to Radiant at all. As with any Rails application, you should just put your favicon.ico in the public/ folder.
Update: Ok.. if you múst use the backend to set the favicon, you could just do this in your layout:
<link rel="shortcut icon" href="<r:asset id="your asset's id"><r:link/></r:asset>" type="image/x-icon" />
.. or just 'hard code' the path to the asset you uploaded:
<link rel="shortcut icon" href="/assets/your asset's id/favicon.ico" type="image/x-icon" />