Don't check that box. Make the album and upload it. If you have a favicon.ico at the root level of your domain, your browser should display it. The skin has nothing to do with this - it should be automatic. There is no code in the skin to make this happen, or to prevent it.
It shouldn't matter either way. Just tell Turtle not to use its own favicon, and make sure that favicon.ico is at the root of your domain. Do some cache-clearing, as well - browsers sometimes cache things like this.