Wordpress - Where do the favicons for Media Files come from

Well, I think you only need to modify the favicon.ico file in your WordPress root directory.

Previous answer:

I guess you want to change this icon (/wp-includes/images/media/document.png):

that shows up for PDF documents in the Media Library.

You could then use the wp_mime_type_icon filter to change the icon:

add_filter( 'wp_mime_type_icon', function( $icon, $mime, $post_id )
{
    if( 'application/pdf' === $mime && $post_id > 0 )
        $icon = 'http://example.tld/pdf.png'; // Modify this to your needs!

    return $icon;
}, 10, 3 ); 

But for favicons, you can check out my answer here.