This has some advantages over just blindly loading one file (no HTTP request if there's no image, though browsers still all try /favicon.ico nowadays) and you get to chose where to place the icon (probably together with other images of your site).
I think by now all browsers support <link rel="shortcut icon"> but all of them still request /favicon.ico so by adding that you a) don't have to change your markup for the icon and b) you silence the error log of your web server - all in one go.
Also, browsers which aren't MSIE can use PNG, GIF (including animated) or JPEG favicons.
> I think by now all browsers support <link rel="shortcut icon">
Only rel=icon is necessary in most browser, rel="shortcut icon" is for MSIE lte 9.
> but all of them still request /favicon.ico
(if no icon is specified)