You need at least a Conkeror version newer than 29th of December 2010.
For displaying favicons anywhere, you need to add at least the following line to your ConkerorRC:
Favicons in the Mode-Line
To enable favicons in the mode-line:
add_hook("mode_line_hook", mode_line_adder(buffer_icon_widget), true);
Favicons in the minibuffer completions list
To enable favicons in the read_buffer completions list:
read_buffer_show_icons = true;